Understanding the associations and potential drivers of long-term disability in Multiple Sclerosis (MS) is of clinical and prognostic value. Previous data have suggested a link between depression and disability accrual in MS. We aimed to determine whether depression in early MS predicts subsequent accrual of disability. Using data from the UK MS Register, we identified individuals with and without symptoms of depression and anxiety close to disease onset. We used Cox proportional hazards regression to evaluate whether early depressive or anxiety symptoms predict subsequent physical disability worsening, measured using the Expanded Disability Status Scale (EDSS). We analysed data from 862 people with MS of whom 134 (15.5%) reached an EDSS of ≥ 6.0. Early depressive symptoms were associated with an increased risk of reaching an EDSS of 6.0 (HR 2.42, 95% CI 1.49–3.95, p < 0.001), however this effect dissipated when adjusting for baseline EDSS (HR 1.40, 95% CI 0.84–2.32, p = 0.2). These data suggest that early depressive symptoms in MS are associated with subsequent disability accrual, but are likely the result of disability rather than its cause.