Research about the effects of stress on multiple sclerosis has yielded contradictory results. This study aims to systematically review the evidence focusing on two possible causes: the role of stress assessment and potential moderating and mediating factors. The Web of Knowledge (MEDLINE and Web of Science), Scopus, and PsycINFO databases were searched for relevant articles published from 1900 through December 2014 using the terms “stress*” AND “multiple sclerosis.” Twenty-three articles were included. Studies focused on the effect of stress on multiple sclerosis onset (n = 9) were mostly retrospective, and semi-structured interviews and scales yielded the most consistent associations. Studies focused on multiple sclerosis progression (n = 14) were mostly prospective, and self-reported diaries yielded the most consistent results. The most important modifying factors were stressor duration, severity, and frequency; cardiovascular reactivity and heart rate; and social support and escitalopram intake. Future studies should consider the use of prospective design with self-reported evaluations and the study of moderators and mediators related to amount of stress and autonomic nervous system reactivity to determine the effects of stress on multiple sclerosis.