Cognitive impairment (CI) is a common and disabling symptom of Multiple Sclerosis (MS) with a negative impact on daily living. In this pilot study, we applied magnetoencephalography (MEG) and high density (hd) electroencephalography (EEG) study to evaluate acoustic P300 features in a cohort of early MS. Sixteen MS patients (pwMS) and 19 healthy controls (HCs) matched for age and gender underwent an MEG-/(hd)-EEG-co-recording, using 306-channel Vectorview and 64 scalp electrodes. CI was assessed using Rao’s Brief Repeatable Battery (BRB). Moreover, we performed psychometric tests to assess depression and fatigue. In pwMS, we observed a slight latency prolongation of P300 peak compared to HCs, while P300 amplitude and scalp distribution were similar in the two groups. pwMS did not show an amplitude reduction and different scalp distribution of Event-Related Potentials (ERPs) and Event Related Fields (ERFs) related to an acoustic oddball paradigm. We found an inverse correlation between P300 amplitude and fatigue (r Spearman = −0.4; p = 0.019). In pwMS, phenomena of cortical adaptation to early dysfunction could preserve the cognitive performance of the P300 acoustic task, while the development of fatigue could prospectively lead to amplitude decline of P300, suggesting its possible role as a biomarker.