Multiple Sclerosis (MS) is a neurodegenerative disease characterized by motor and non-motor symptoms, including emotional distress, anxiety, and depression. These emotional symptoms currently have a pharmacological treatment with limited effectiveness; therefore, it is necessary to delve into their relationship with other psychological, functional, or prefrontal alterations. Additionally, exploring non-pharmacological therapeutic alternatives that have shown benefits in addressing emotional distress in MS patients is essential. Aim: To establish a predictive model for the presence of anxiety and depression in MS patients, based on variables such as psychological well-being, functional activity, and prefrontal symptoms. Additionally, this study aimed to propose non-pharmacological therapeutic alternatives based on this model. Materials and Methods: A descriptive, observational, and cross-sectional study was conducted with a sample of 64 diagnosed MS patients who underwent functional and cognitive assessments using the following questionnaires and scales: Functional Activities Questionnaire (FAQ), Acceptance and Action Questionnaire (AAQ-II), Experiences Questionnaire (EQ), Self-Compassion Scale Short Form (SCS-SF), Beck Depression Inventory II (BDI-II), State-Trait Anxiety Inventory (STAI), and Prefrontal Symptoms Inventory (PSI). Results: The model showed an excellent fit to the data and indicated that psychological well-being was the most significant predictor of the criteria (β = −0.83), followed by functional activity (β = −0.18) and prefrontal symptoms (β = 0.15). The latter two are negatively related to psychological well-being (β = −0.16 and β = −0.75, respectively). Conclusions: Low psychological well-being is the variable that most significantly predicts the presence of anxiety and depression in MS patients, followed by functional activity and prefrontal alterations. Interventions based on mindfulness and acceptance are recommended, along with nutritional interventions such as antioxidant-enriched ketogenic diets and moderate group physical exercise.