Background: Natalizumab and fingolimod were approved for treatment of active relapsing-remitting multiple sclerosis (RRMS) in Denmark in 2006 and 2011, respectively. There have been no randomized head-to-head studies comparing the two drugs. Objective: To compare the clinical efficacy of natalizumab and fingolimod. Methods: Data on all Danish RRMS patients who started their first second-line treatment with natalizumab or fingolimod from July 2011 to March 2015 were prospectively recorded in the Danish Multiple Sclerosis (MS) Treatment Register. The two treatment arms were 1:1 propensity score matched by baseline covariates using ‘nearest neighbour’ method. Results: Propensity score matching left 928 of 1309 RRMS cases, 464 in each treatment group. The on-treatment annualized relapse rate was 0.296 (95% confidence interval (CI): 0.26–0.34) for natalizumab and 0.307 (95% CI: 0.27–0.35) for fingolimod. The adjusted relapse rate ratio was 0.93 (95% CI: 0.74–1.17; p = 0.53). Mean time to first relapse was 2.55 and 2.56 years, respectively ( p = 0.76). There was no difference in change of Expanded Disability Status Scale (EDSS). Conclusion: We found no differences in clinical disease activity between natalizumab- and fingolimod-treated RRMS patients in this real-life observational study. However, the lack of magnetic resonance imaging (MRI) data for the propensity score matching may conceal a higher efficacy of natalizumab.