The anatomical basis of cognitive dysfunction and other non-motor symptoms in multiple sclerosis (MS) is poorly understood. In MS patients, transcranial sonography (TCS) shows neurodegenerative disease-like lesions of the substantia nigra (SN) and basal ganglia, thought to reflect iron accumulation. The present study deals with the question of whether sonographic changes of SN, brainstem raphe, lenticular nucleus (LN) or caudate nucleus are related to non-motor symptoms of MS. We used TCS to investigate 54 MS patients and 54 age- and sex-matched healthy subjects. Degree of cognitive (executive) dysfunction, fatigue, depression, and urinary urge incontinence in MS patients was assessed using the Paced Auditory Serial Addition Test, the Faces Symbol Test, the Modified Fatigue Impact Scale, the Beck Depression Inventory, and the Urinary Distress Inventory. Abnormal TCS findings of SN, brainstem raphe, LN, and caudate nucleus were found in 13, 7, 11, and 6% of the healthy subjects, but in 54, 43, 62, and 41% (each, p < 0.001) of the MS patients, with similar frequency in relapsing-remitting and primary or secondary progressive MS patients. Sonographic alteration of the LN correlated with cognitive dysfunction. Combined alteration of both, LN and SN, was clearly associated with cognitive dysfunction and cognitive fatigue. The combined sonographic alteration of SN and brainstem raphe indicated severe urinary urge incontinence irrespective of the presence of spinal MS lesions. No relation was found between depression and any of the TCS findings. These findings suggest that neurodegenerative processes affecting deep brain structures contribute to cognitive and autonomic dysfunction in MS.