Background: There is a scarcity of reports comparing efficacy and tolerability of the multiple sclerosis (MS) disease-modifying therapies [DMTs; intramuscular interferon-β1a (IM IFNβ-1a), subcutaneous (SC) IFNβ-1a, SC IFNβ-1b, SC glatiramer acetate (GA)] in a real-world setting. Methods: This multicenter, non-interventional, retrospective cohort study analyzed data from 546 patients with clinically isolated or relapsing-remitting MS constantly treated with one DMT for 2 years. Annualized relapse rate (ARR), Expanded Disability Status Scale (EDSS) scores, and DMT tolerability were assessed. Results: Demographic data were comparable across DMTs. There were no significant differences between DMT groups in ARR during study year 1 (p = 0.277) or study year 2 (p = 0.670), or in EDSS change between years 1 and 2 (p = 0.624). Adverse events were frequent (39-56%) in all groups. Flu-like symptoms were less frequent with GA treatment (2.3% vs. IM IFNβ-1a, 46.7%; SC IFNβ-1a, 39.8%; SC IFNβ-1b, 25.8%; p < 0.05). Injection site reactions were less often reported with IM IFNβ-1a (10.5% vs. SC IFNβ-1a, 33.9%; SC IFNβ-1b, 38.3%; GA, 26.1%; p < 0.05). Conclusions: All DMTs showed comparable effects on MS relapse rate and EDSS change, with IM IFNβ-1a and GA being more tolerable with respect to injection site reactions and flu-like symptoms, respectively.