Depression is a serious mental disorder, which can affect people with multiple sclerosis (MS) and have a significant influence on their quality of life. Studies have demonstrated that major depression is very common among people with MS, with estimates of lifetime prevalence of approximately 50%. Some authors have demonstrated the importance of treating depression in MS, in order to help patients to avoid deterioration on a psychological level and to achieve a better quality of life. Some researchers have compared the effectiveness of different kinds of treatment of depression in MS, including psychological therapy, in order to identify the most useful ways to treat this pathology. The aim of this article is to illustrate and compare different psychotherapeutic perspectives according to the literature available on this topic.