Background Social support has been identified as a buffering or intervening variable in stressful life events. Research has demonstrated that greater social support is associated with better mental health in multiple sclerosis (MS), but little is known about its links to specific aspects of mental health. We therefore investigated if and how perceived social support modulates depression, anxiety and fatigue in patients with MS. Methods We recruited 112 patients with MS from three French hospitals and administered a demographic and clinic interview, and self-report measures of perceived social support (Multidimensional Scale of Perceived Social Support), depression and anxiety (Hospital Anxiety and Depression Scale), and fatigue (Fatigue Severity Scale). We then analyzed the relationships between these domains using path analysis. Results The causal path model provided an excellent fit for the data (χ2 = 9.8, p = 0.778, standardized root mean square residual = 0.043, comparative fit index = 1.00). Results indicated that the level of social support from friends is a predictor of anxiety symptomatology. Thus, anxiety may have both a direct and an indirect impact on fatigue and depression levels. Conclusions This study highlights the important roles played by perceived social support and anxiety in MS. These should be key pharmacological and non-pharmacological targets for optimizing patient care. NCT 02880553