Multiple sclerosis, a condition characterised by demyelination and axonal damage in the central nervous system, is due to autoreactive immune cells that recognise myelin antigens. Alteration of the immune balance can promote the onset of immune deficiencies, loss of immunosurveillance, and/or development of autoimmune disorders such as MS. Numerous enzymes, transcription factors, signal transducers, and membrane proteins contribute to the control of immune system activity. The “transcriptional machine” of eukaryotic cells is a complex system composed not only of mRNA but also of non-coding elements grouped together in the set of non-coding RNAs. Recent studies demonstrate that ncRNAs play a crucial role in numerous cellular functions, gene expression, and the pathogenesis of many immune disorders. The main purpose of this review is to investigate the role of circular RNAs, a previously unknown class of non-coding RNAs, in MS’s pathogenesis. CircRNAs influence post-transcriptional control, expression, and functionality of a microRNA and epigenetic factors, promoting the development of typical MS abnormalities such as neuroinflammation, damage to neuronal cells, and microglial dysfunction. The increase in our knowledge of the role of circRNAs in multiple sclerosis could, in the future, modify the common diagnostic–therapeutic criteria, paving the way to a new vision of this neuroimmune pathology.