Background: Multiple sclerosis (MS) is a chronic autoimmune disease of the central nervous system, with symptoms that greatly affect quality of life (QoL). One of the most prevalent symptoms of MS is fatigue, also one of the main factors reducing QoL. Low levels of vitamin D (VD) are associated with worse QoL and with increased risk of developing more severe forms of the disease. Methods: In this cross-sectional study, we compared perceptions of quality of life and fatigue in 324 patients, subdivided into four groups, according to their treatment: high-dose VD therapy only, disease-modifying therapy (DMT) only, both treatments, and no treatments. All subjects completed the MSQOL-54 and the FSS questionnaires via an online survey. Results: High-dose VD treatment was associated with an increased perception of physical QoL (83.60 vs. 66.92, p < 0.001), mental QoL (75.52 vs. 59.80, p < 0.001), and fatigue (1.89 vs. 2.98, p < 0.001), compared to the DMT-only group. Treatment with DMT was associated with a worse perception of physical QoL compared to no treatment (70.58 vs. 76.53, p = 0.024). Conclusions: high-dose VD treatment is well-tolerated and associated with an increased perception of QoL in people with MS.