Purpose Patients affected with multiple sclerosis suffer from depression more frequently than the general population. Beyond psychosocial, genetic and immune-inflammatory factors, also the brain damage which is peculiar of multiple sclerosis has been claimed to have a role in the aetiology of depression in those patients. The study of this interesting relation has been implemented with both conventional and advanced magnetic resonance imaging techniques. The aim of this review is to provide a historical perspective on the link between multiple sclerosis-related depression and structural and functional brain damage. Methods In this review, the results of the MRI studies regarding multiple sclerosis-related brain damage and the presence of depression are presented. Results The findings of the reports reveal a link between brain pathology and depressive symptoms or the diagnosis of depression in multiple sclerosis. Conclusions Although a multifactorial aetiology has been theorized for depression and depressive symptoms in patients with multiple sclerosis, this review supports the hypothesis that the structural and functional brain impairment might substantially be amongst those factors. Thus, depression itself might be a symptom with a neuro-biological basis and not only the consequence of the disability derived from the neurological impairment.