Background: Recent studies underscore the intricate relationship between cognitive and motor impairments in Multiple Sclerosis (MS), often exacerbated by CNS damage compromising neural connections. These cognitive–motor deficits contribute to reduced efficiency in daily activities and heightened risks of falls and accidents. The combination of challenging cognitive–motor training in a more ecological setting could improve cognitive functions in people with MS (PwMS). Objective: This study aims to compare the impact of dynamic cognitive–motor training versus computer-based cognitive training on overall cognitive efficiency in PwMS. Methods: Thirty-eight PwMS were recruited through the neurorehabilitation services of an Institute of research and health. Twenty-four participants were randomly assigned to the Cognitive-Motor group (CMg) and Cognitive Therapy group (CTg). Participants underwent three training sessions per week for four weeks, each lasting 50 min. The primary outcome was a comprehensive cognitive assessment using the Cognitive Impairment Index (CII), and the secondary outcomes were the Multiple Sclerosis Quality of Life Questionnaire MSQOL-54 and the Stroop Color Word Interference Test (SCWT). Results: Significant differences in the CII scores across T0, T1, and T2, as indicated by Friedman’s test (χ2(2) = 14.558, p = .001), were found in the CMg. A significant difference in the change in health subscale of the MSQOL-54 was observed when comparing the groups across T0, T1, and T2 (χ2(2) = 6.059, p = .048). There were also statistically significant differences for the emotional well-being (χ2(2) = 7.581, p = .023) and health distress (χ2(2) = 11.902, p = .003) subscales. Post hoc analysis showed a statistically significant improvement in health-related quality of life (HRQOL) for the former at T1 vs. T0 (Z = −2.502, p = .012 and for the latter at T2 vs. T0 (Z = −2.670, p = .008), respectively. Conclusions: Our results support the combination of cognitive–motor training to enhance cognitive functional outcomes and quality of life compared to computer-based cognitive training in PwMS.