Background: Inner retinal layer (IRL) atrophy is a potential biomarker for neurodegeneration in multiple sclerosis (MS). Objective: To investigate the relationship between cognitive impairment and IRL atrophy in MS. Methods: Cross-sectional study design, including 217 patients and 59 healthy controls. Subjects were investigated clinically, underwent retinal optical coherence tomography (OCT) and comprehensive cognitive assessments. The association between these modalities was evaluated by regression analyses. Results: Of the patients, 44.2% were cognitively impaired. In the absence of multiple sclerosis–associated optic neuritis (MSON), cognitively impaired patients had a significantly lower mean peripapillary retinal nerve fiber layer (pRNFL, Δ: 8.13 µm, p < 0.001) and mean macular ganglion cell–inner plexiform layer (mGCIPL, Δ: 11.50 µm, p < 0.001) thickness compared to cognitively preserved patients. There was a significant association between the presence of cognitive impairment and pRNFL (odds ratio (OR): 1.11, 95% confidence interval (CI): 1.04–1.18, p = 0.001) and mGCIPL (OR = 1.11, 95% CI = 1.05–1.18, p < 0.001) atrophy. This association was masked by the severe IRL atrophy seen following MSON. Conclusion: The strong relationship between cognitive impairment across multiple cognitive domains and atrophy of the pRNFL and mGCIPL in patients who never suffered from MSON suggests that OCT is useful in assessing central nervous system neurodegeneration in MS.