BackgroundRisk factors for psychiatric comorbidity in multiple sclerosis (MS) are poorly understood.ObjectiveWe evaluated the association between physical comorbidity and incident depression, anxiety disorder, and bipolar disorder in a MS population relative to a matched general population cohort.MethodsUsing population‐based administrative data from Alberta, Canada we identified 9624 persons with MS, and 41,194 matches. Using validated case definitions, we estimated the incidence of depression, anxiety disorder, and bipolar disorder, and their association with physical comorbidities using Cox regression, adjusting for age, sex, socioeconomic status, and index year.ResultsIn both populations, men had a lower risk of depression and anxiety disorders than women, as did individuals who were ≥45 years versus <45 years at the index date. The risk of bipolar disorder declined with increasing age. The risks of incident depression (HR 1.92; 1.82–2.04), anxiety disorders (HR 1.52; 1.42–1.63), and bipolar disorder (HR 2.67; 2.29–3.11) were higher in the MS population than the matched population. These associations persisted essentially unchanged after adjustment for covariates including physical comorbidities. Multiple physical comorbidities were associated with psychiatric disorders in both populations.ConclusionPersons with MS are at increased risk of psychiatric comorbidity generally, and some physical comorbidities are associated with additional risk.