There is evidence that activated immune-inflammatory and oxidative and nitrosative stress (IO&NS) pathways play a role in the pathophysiology of multiple sclerosis (MS) and depression. This study examines serum levels of interleukin (IL)-1β, IL-4, IL-6, and IL-10; peroxides (LOOH); nitric oxide metabolites (NOx); albumin; ferritin; C-reactive protein (CRP); and tumor necrosis factor (TNF)-β NcoI polymorphism (rs909253) and gadolinium-enhanced magnetic resonance imaging (MRI) scan in MS patients with (n = 42) and without (n = 108) depression and normal controls (n = 249). Depression is scored using the depressive subscale of the Hospital Anxiety and Depression Scale (HADS). The extent of neurological disability is measured using the Expanded Disability Status Scale (EDSS) at the same time of the abovementioned measurements and 5 years earlier. Disease progression is assessed as actual EDSS-EDSS 5 years earlier. Three variables discriminate MS patients with depression from those without depression, i.e., increased IL-6 and lower IL-4 and albumin. Binary logistic regression showed that MS with depression (versus no depression) was characterized by more gastrointestinal symptoms and disease progression, higher serum IL-6, and lower albumin levels. In subjects with MS, the HADS score was significantly predicted by three EDSS symptoms, i.e., pyramidal, gastrointestinal, and visual symptoms. Fifty-eight percent of the variance in the HADS score was predicted by gastrointestinal symptoms, visual symptoms, the TNFB1/B2 genotype, and contrast enhancement (both inversely associated). There were no significant associations between depression in MS and type of MS, duration of illness, age, sex, nicotine dependence, and body mass index. MS with depression is associated with signs of peripheral inflammation, more disability, disease progression, gastrointestinal and visual symptoms, but less contrast enhancement as compared to MS without depression. It is concluded that depression is part of the neurological symptoms of MS and that its expression is primed by peripheral inflammation while acute neuroinflammation and the TNFB1/B2 genotype may be protective.