Detailed neuropsychological assessment was performed in 86 women (48 patients with stable relapsing-remitting multiple sclerosis (MS) and 38 matched healthy controls (HC)). Patients were categorized into patients without (EDSS ≤1, n = 26) and with physical disability (EDSS ≥2, n = 22). Patients with EDSS ≥2 scored significantly (P < 0.05) higher in Beck’s depression inventory (BDI) and depression scores (DS) compared to HC and patients with EDSS ≤1. No significant differences were found with respect to the use of specific coping strategies between the patient groups, who preferred active (EDSS ≤1) or distracting (EDSS ≥2) strategies. Cognitive deficits were significantly increased in MS with EDSS ≥2 with regard to visuo-construction and visual memory, in particular with respect to geometric figures, compared to MS with EDSS ≤1. Significant positive correlations of depression variables (BDI, DS and BL) and depressive as well as denying coping strategies were found. Our results showed increased depression scores and increased cognitive deficits in advanced physically disabled patients, without selection of specific coping strategies. This supports an individual MS-specific neuropsychological therapeutic approach in order to improve disease related deficits together with social functioning.