Background: Psychiatric disorders are known to be prevalent in multiple sclerosis (MS). Objective: The objective of this paper is to study comorbidity between MS and bipolar disorder, schizophrenia and depression in a nationwide cohort and to determine whether shared genetic liability underlies the putative association. Methods: We identified ICD-diagnosed patients with MS ( n = 16,467), bipolar disorder ( n = 30,761), schizophrenia ( n = 22,781) and depression ( n = 172,479) in the Swedish National Patient Register and identified their siblings in the Multi-Generation Register. The risk of MS was compared in psychiatric patients and in matched unexposed individuals. Shared familial risk between MS and psychiatric disorders was estimated by sibling comparison. Results: The risk of MS was increased in patients with bipolar disorder (hazard ratio (HR) 1.8, 95% confidence interval (CI) 1.6–2.2, p < 0.0001) and depression (HR 1.9, 95% CI 1.7–2.0, p < 0.0001). MS risk in schizophrenia was decreased (HR 0.6, 95% CI 0.4–0.9, p = 0.005). The association between having a sibling with a psychiatric disorder and developing MS was not significant. Conclusion: We found a strong positive association between MS and bipolar disorder and depression that could not be explained by genetic liability. The unexpected negative association between MS and schizophrenia might be spurious or indicate possible protective mechanisms that warrant further exploration.