<b><i>Background:</i></b> Although several risk factors are associated with multiple sclerosis (MS) in adulthood, evidence for risk factors acting from birth to adolescence is scarce. <b><i>Methods:</i></b> We conceived a 2-step study design, where signals from an Environment-Wide Association Study are prioritized for follow-up in a Mendelian Randomization study (MR-EWAS), to examine the association of early-life factors with risk of MS. The EWAS was conducted in UK Biobank, where we agnostically selected all the available risk factors acting from the perinatal period until the adolescence, including perinatal factors, anthropometric characteristics during childhood, male and female sexual factors, and skin phenotypic characteristics. We prioritized statistically significant risk factors to perform a 2-sample MR study using publicly available summary-level genetic data. We also calculated the power of the 2-step MR-EWAS approach under several scenarios and compared it against a 1-step hypothesis-free MR approach to detect risk factors of MS. <b><i>Results:</i></b> In the EWAS, an increase per 1 year in age at menarche was associated with a lower risk of MS (OR = 0.93; 95% CI: 0.90–0.96) and a plumper than average body size at the age of 10 was associated with a higher risk of MS (OR = 1.42; 95% CI: 1.24–1.61). Individuals getting very tanned or moderately tanned were at higher risk of MS compared with individuals that never tan or get mildly to occasionally tanned (OR = 0.86; 95% CI: 0.79–0.94). The MR analysis supported the association of age at menarche and childhood body mass index (BMI) without presence of pleiotropic effects. In the multivariable MR analysis, the association of age at menarche was not statistically significant after adjusting for childhood BMI. The MR analysis for ease of tanning did not reveal a statistically significant association. In multiple scenarios, the power of MR-EWAS approach was larger than the power of a hypothesis-free MR approach. <b><i>Conclusions:</i></b> We introduced the MR-EWAS, a 2-step approach that is more powerful compared with the hypothesis-free MR approach under certain scenarios, to test potential causal signals. Our comprehensive assessment of early-life risk factors of MS highlighted a potential causal role of early menarche and elevated childhood BMI for risk of MS.