Background: It has been suggested that onset of multiple sclerosis (MS) is preceded by a clinically silent period of up to 10 years. Objectives: Examine whether such a period should be associated with poor self-rated health (SRH). Methods: Information on SRH before pregnancy was ascertained among 80,848 women participating in the Danish National Birth Cohort (DNBC) 1996–2002. Women were followed for MS from enrolment in DNBC in the 16th week of pregnancy until 31 December 2011. Associations between SRH and MS were evaluated by means of hazard ratios (HR) with 95% confidence intervals (CIs) using Cox proportional hazard models. Results: During on average 11.7 years of follow-up, 239 women were diagnosed with MS. Overall, neither women with fair (HR = 1.09 (95% CI = 0.83–1.41), n = 113) nor poor pre-pregnancy SRH (HR = 0.94 (95% CI = 0.47–1.87), n = 9) were at an increased risk of MS compared with women reporting very good pre-pregnancy SRH. Supplementary analyses showed no significant differences in MS risk in consecutive periods of follow-up. Conclusion: In this first prospective cohort study assessing MS risk as a function of SRH, we found no indication of a long period of poor SRH prior to MS. Our findings based on pregnant women may not necessarily apply to all women.