Background The effects of socio-economic status on mortality in patients with multiple sclerosis is not well known. The objective was to examine mortality due to multiple sclerosis according to socio-economic status. Methods A retrospective observational cohort design was used with recruitment from 18 French multiple sclerosis expert centers participating in the Observatoire Français de la Sclérose en Plaques. All patients lived in metropolitan France and had a definite or probable diagnosis of multiple sclerosis according to either Poser or McDonald criteria with an onset of disease between 1960 and 2015. Initial phenotype was either relapsing-onset or primary progressive onset. Vital status was updated on January 1st 2016. Socio-economic status was measured by an ecological index, the European Deprivation Index and was attributed to each patient according to their home address. Excess death rates were studied according to socio-economic status using additive excess hazard models with multidimensional penalised splines. The initial hypothesis was a potential socio-economic gradient in excess mortality. Findings A total of 34,169 multiple sclerosis patients were included (88% relapsing onset (n = 30,083), 12% progressive onset (n = 4086)), female/male sex ratio 2.7 for relapsing-onset and 1.3 for progressive-onset). Mean age at disease onset was 31.6 (SD = 9.8) for relapsing-onset and 42.7 (SD = 10.8) for progressive-onset. At the end of follow-up, 1849 patients had died (4.4% for relapsing-onset (n = 1311) and 13.2% for progressive-onset (n = 538)). A socio-economic gradient was found for relapsing-onset patients; more deprived patients had a greater excess death rate. At thirty years of disease duration and a year of onset of symptoms of 1980, survival probability difference (or deprivation gap) between less deprived relapsing-onset patients (EDI = −6) and more deprived relapsing-onset patients (EDI = 12) was 16.6% (95% confidence interval (CI) [10.3%–22.9%]) for men and 12.3% (95%CI [7.6%–17.0%]) for women. No clear socio-economic mortality gradient was found in progressive-onset patients. Interpretation Socio-economic status was associated with mortality due to multiple sclerosis in relapsing-onset patients. Improvements in overall care of more socio-economically deprived patients with multiple sclerosis could help reduce these socio-economic inequalities in multiple sclerosis-related mortality.