Background: The association between multiple sclerosis (MS) and the HLA-DRB1*15:01 haplotype has been proven to be strong, but its molecular basis remains unclear. Vitamin D receptor (VDR) gene variants and sex have been proposed to modulate this association. Objectives: 1) Test the association of MS with *15:01 and VDR variants; 2) check whether VDR variants and/or sex modulate the risk conferred by *15:01; 3) study whether *15:01, VDR variants and/or sex affect HLA II gene expression. Methods: Peripheral blood from 364 MS patients and 513 healthy controls was obtained and DNA and total RNA were extracted from leukocytes. HLA-DRB1, DRB5 and DQA1 gene expression measurements and *15:01 genotyping were performed by qPCR. VDR variants were genotyped by PCR-RFLP. Results: Our data confirms that the *15:01 haplotype confers a higher risk of suffering from MS (OR = 1.364; 95% CI = 1.107–1.681). No association was found between VDR variants and MS, but they were shown to moderately modulate the risk conferred by *15:01. Sex confers a much stronger modulation and the *15:01-MS association seems to be female specific. A higher *15:01 frequency has been observed in Basques (45.1%). *15:01 positive samples showed a significant overexpression of DRB1 ( p < 0.001), DRB5 ( p < 0.001) and DQA1 ( p = 0.004) in patients. DRB1 ( p = 0.004) and DRB5 ( p < 0.001) were also overexpressed in *15:01 controls. Conclusions: We confirm the *15:01-MS association and support that it is female specific. The relevance of ethnic origin on association studies has also been highlighted. HLA-DRB1*15:01 seems to be a haplotype consistently linked to high HLA II gene expression.