Four sphingosine 1‐phosphate (S1P) receptor modulators (fingolimod, ozanimod, ponesimod, and siponimod) are approved by the US Food and Drug Administration for the treatment of multiple sclerosis. This review summarizes efficacy and safety data on these S1P receptor modulators, with an emphasis on similarities and differences. Efficacy data from the pivotal clinical trials are generally similar for the four agents. However, because no head‐to‐head clinical studies were conducted, direct efficacy comparisons cannot be made. Based on the adverse event profile of S1P receptor modulators, continued and regular monitoring of patients during treatment will be instructive. Notably, the authors recommend paying attention to the cardiac monitoring guidelines for these drugs, and when indicated screening for macular edema and cutaneous malignancies before starting treatment. To obtain the best outcome, clinicians should choose the drug based on disease type, history, and concomitant medications for each patient. Real‐world data should help to determine whether there are meaningful differences in efficacy or side effects between these agents.