Abstract Background Mastery is the extent to which an individual perceives their life circumstances as being under their control and not predominantly influenced by external factors. The relationship of mastery with clinical outcomes in people with multiple sclerosis (pwMS) has not been well-researched. We assessed the relationships of mastery with fatigue, disability, relapse number, and depression risk among pwMS over 2.5 years’ follow-up. Methods Data from the Health Outcomes and Lifestyle in a Sample of people with Multiple sclerosis study, among 839 participants who completed the 2.5 and 5-year reviews, were analysed. Mastery was measured by the Pearlin Mastery Scale, fatigue by Fatigue Severity Scale, depression risk by Patient Health Questionnaire-9, and disability by Patient-Determined Disease Steps, and diagnosed relapse number in the previous 12 months was queried. Cross-sectional and prospective analyses were undertaken by log-binomial, log-multinomial, and Poisson regression, as appropriate, adjusted for relevant confounders. Results Cross-sectionally, pwMS with the highest quartile mastery (> 25/28) had 90% lower frequency of depression risk, 60% lower frequency of clinically significant fatigue, and 77% fewer had severe disability, all largely robust to adjustment. Prospectively, those in the top two quartiles of mastery (> 21–25, > 25/28) had 66% and 74% lower subsequent depression risk, robust to adjustment. No significant associations were seen prospectively for change in fatigue, disability, or relapse number, however, and no robust associations of mastery with relapse number were evident. Conclusions Prospectively, a protective relationship of mastery with subsequent risk of depression was observed, suggesting this may be a point of intervention to improve wellbeing in pwMS.