Studies on the role of nutritional factors and physical activity (PA) in the pathogenesis of multiple sclerosis (MS) go back a long time. Despite the intrinsic difficulty of studying their positive or negative role in MS, the interest of researchers on these topics increased during the last few decades, since the role of diet has been investigated with the perspective of the association with disease-modifying drugs (DMD). The association of DMD, diets, and PA might have an additive effect in modifying disease severity. Among the various diets investigated (low-carbohydrate, gluten-free, Mediterranean, low-fat, fasting-mimicking, and Western diets) only low-carbohydrate, Mediterranean, and fast-mimicking diets have shown both in animal models and in humans a positive effect on MS course and in patient-reported outcomes (PROs). However, the Mediterranean diet is easier to be maintained compared to fast-mimicking and low-carbohydrate diets, which may lead to detrimental side effects requiring careful clinical monitoring. Conversely, the Western diet, which is characterized by a high intake of highly saturated fats and carbohydrates, may lead to the activation of pro-inflammatory immune pathways and is therefore not recommended. PA showed a positive effect both in animal models as well as on disease course and PROs in humans. Training with combined exercises is considered the more effective approach.