While cognitive impairment, which was previously considered a red flag against the clinical diagnosis of multiple system atrophy (MSA), is a common symptom of this rare neurodegenerative disorder, behavioral disorders are reported in 30 to 70% of MSA patients. They include anxiety, apathy, impaired attention, compulsive and REM sleep behavior disorders (RBD), and these conditions, like depression, are early and pervasive features in MSA, which may contribute to disease progression. Despite changing concepts of behavioral changes in this synucleinopathy, the underlying pathophysiological and biochemical mechanisms are poorly understood. While specific neuropathological data are unavailable, neuroimaging studies related anxiety disorders to changes in the cortico-limbic system, apathy (and depression) to dysfunction of prefrontal–subcortical circuits, and compulsive behaviors to impairment of basal ganglia networks and involvement of orbito-frontal circuits. Anxiety has also been related to α-synuclein (αSyn) pathology in the amygdala, RBD to striatal monoaminergic deficit, and compulsive behavior in response to dopamine agonist therapy in MSA, while the basic mechanisms of the other behavioral disorders and their relations to other non-motor dysfunctions in MSA are unknown. In view of the scarcity of functional and biochemical findings in MSA with behavioral symptoms, further neuroimaging and biochemical studies are warranted in order to obtain better insight into their pathogenesis as a basis for the development of diagnostic biomarkers and future adequate treatment modalities of these debilitating comorbidities.