Objective Major depressive disorder (MDD) is common in patients with multiple sclerosis (MS) but may remain unrecognized because of overlapping symptoms and different presentation due to its specific MS-related neurobiological aetiology. We aimed to investigate the clinical profile of MDD in MS. Methods In a sample of MDD patients with MS (n = 83) and without MS (n = 782), MDD characteristics, 30 depressive symptoms, and sum scores of cognitive, somatic, atypical and melancholic symptom clusters were compared using logistic regression analyses and analysis of co-variance. Results MDD in MS was characterized by older age of onset (p < 0.001), and fewer comorbid anxiety disorders (37% versus 72%; p < 0.001). The symptom ‘future pessimism’ was more common in MS patients (OR = 1.62; 95%CI = 1.02–2.59). ‘Diminished capacity for pleasure/enjoyment’ (OR = 0.44; 95%CI = 0.24–0.78), ‘increased appetite’ (OR = 0.40; 95%CI = 0.19–0.85), ‘arousal symptoms’ (OR = 0.49; 95%CI = 0.28–0.84), and ‘panic/phobic symptoms’ (OR = 0.49; 95%CI = 0.29–0.84) were less common in MS patients. Twenty-five symptoms (83%) out of 30, including depression's core symptoms (sadness and loss of interest) were not differentially associated with MS and no differences existed for the symptom clusters. Conclusion Only subtle differences in depressive symptom profiles existed between MDD patients with and without MS. The clinical profile of depression remains valid among MS patients, although it presents with diminished anxiety distress and comorbidity.