Background Despite the high comorbidity of anxiety and depression in people with multiple sclerosis (MS), little is known about their inter-relationships. Both involve emotional perturbations and the way in which emotions are processed is likely central to both. The aim of the current study was to explore relationships between the domains of mood, emotional processing and coping and to analyse how anxiety affects coping, emotional processing, emotional balance and depression in people with MS. Methods A cross-sectional questionnaire study involving 189 people with MS with a confirmed diagnosis of MS recruited from three French hospitals. Study participants completed a battery of questionnaires encompassing the following domains: i. anxiety and depression (Hospital Anxiety and Depression Scale (HADS)); ii. emotional processing (Emotional Processing Scale (EPS-25)); iii. positive and negative emotions (Positive and Negative Emotionality Scale (EPN-31)); iv. alexithymia (Bermond-Vorst Alexithymia Questionnaire) and v. coping (Coping with Health Injuries and Problems-Neuro (CHIP-Neuro) questionnaire. Relationships between these domains were explored using path analysis. Results Anxiety was a strong predictor of depression, in both a direct and indirect way, and our model explained 48% of the variance of depression. Gender and functional status (measured by the Expanded Disability Status Scale) played a modest role. Non-depressed people with MS reported high levels of negative emotions and low levels of positive emotions. Anxiety also had an indirect impact on depression via one of the subscales of the Emotional Processing Scale ("Unregulated Emotion") and via negative emotions (EPN-31). Conclusions This research confirms that anxiety is a vulnerability factor for depression via both direct and indirect pathways. Anxiety symptoms should therefore be assessed systematically and treated in order to lessen the likelihood of depression symptoms.