Neoplasm development in Multiple Sclerosis (MS) patients treated with disease-modifying therapies (DMTs) has been widely discussed. The aim of this work is to determine neoplasm frequency, relationship with the prescription pattern of DMTs, and influence of the patients’ baseline characteristics. Data from 250 MS outpatients were collected during the period 1981–2019 from the medical records of the Neurology Service of the HUPM (Hospital Universitario Puerta del Mar)—in Southern Spain—and analysed using Cox models. Neoplasm prevalence was 24%, mainly located on the skin, with cancer prevalence as expected for MS (6.8%). Latency period from MS onset to neoplasm diagnosis was 10.4 ± 6.9 years (median 9.30 [0.9–30.5]). During the observation period β-IFN (70.4% of patients), glatiramer acetate (30.4%), natalizumab (16.8%), fingolimod (24.8%), dimethyl fumarate (24.0%), alemtuzumab (6.0%), and teriflunomide (4.8%) were administered as monotherapy. Change of pattern in step therapy was significantly different in cancer patients vs unaffected individuals (p = 0.011) (29.4% did not receive DMTs [p = 0.000]). Extended Cox model: Smoking (HR = 3.938, CI 95% 1.392–11.140, p = 0.010), being female (HR = 2.006, 1.070–3.760, p = 0.030), and age at MS diagnosis (AGE-DG) (HR = 1.036, 1.012–1.061, p = 0.004) were risk factors for neoplasm development. Secondary progressive MS (SPMS) phenotype (HR = 0.179, 0.042–0.764, p = 0.020) and treatment-time with IFN (HR = 0.923, 0.873–0.977, p = 0.006) or DMF (HR = 0.725, 0.507–1.036, p = 0.077) were protective factors. Tobacco and IFN lost their negative/positive influence as survival time increased. Cox PH model: Tobacco/AGE-DG interaction was a risk factor for cancer (HR = 1.099, 1.001–1.208, p = 0.049), followed by FLM treatment-time (HR = 1.219, 0.979–1.517). In conclusion, smoking, female sex, and AGE-DG were risk factors, and SPMS and IFN treatment-time were protective factors for neoplasm development; smoking/AGE-DG interaction was the main cancer risk factor.