Physical disability impacts psychosocial wellbeing in people with multiple sclerosis. However, the role of physical activity in this context is still debated. By taking advantage of a previous survey, conducted online from 22 April to 7 May 2020, we performed a post-hoc analysis with the aim to assess the associations between disability, physical exercise, and mental health in multiple sclerosis. We retrieved the following data: (i) sociodemographic information, (ii) changes in lifestyle (including exercise), (iii) physical disability, as measured with the Patient-Determined Disease Steps scale, and (iv) anxiety feelings and depressive symptoms assessed via the items included in the Quality of Life in Neurological Disorders measurement system. Examination of the interaction plot showed that the effect of disability on depression, but not on anxious symptoms, was significant for all levels of physical exercise (low: b = 1.22, 95% C.I. 0.85, 1.58, p < 0.001; moderate: b = 0.95, 95% C.I. 0.66, 1.24, p < 0.001; and high: b = 0.68, 95% C.I. 0.24, 1.13, p = 0.003). Based on these data, we can conclude that disability significantly impacted depression during the COVID-19 pandemic, with physical activity playing a moderating role. Our results suggest that favoring exercise in multiple sclerosis (MS) would ameliorate psychological wellbeing regardless of the level of physical disability.