Multiple sclerosis (MS) is a debilitating disease characterized by demyelination of the central nervous system (CNS), resulting in widespread formation of white matter lesions (WMLs) and grey matter lesions (GMLs). WMLs are pathologically characterized by the presence of immune cells that infiltrate the CNS, whereas these immune cells are barely present in GMLs. This striking pathological difference between WMLs and GMLs raises questions about the underlying mechanism. It is known that infiltrating leukocytes contribute to the generation of WMLs; however, since GMLs show a paucity of infiltrating immune cells, their importance in GML formation remains to be determined. Here, we review pathological characteristics of WMLs and GMLs, and suggest some possible explanations for the observed pathological differences. In our view, cellular and molecular characteristics of WM and GM, and local differences within WMLs and GMLs (in particular, in glial cell populations and the molecules they express), determine the pathway to demyelination. Further understanding of GML pathogenesis, considered to contribute to chronic MS, may have a direct impact on the development of novel therapeutic targets to counteract this progressive neurological disorder.