Background The relationship between dietary habits and multiple sclerosis (MS) risk is still controversial. Most studies have involved populations from Scandinavia, North America, and Australia. Data on populations from southern Europe (an area of high MS prevalence) are scarce. Objective To examine the association between dietary habits/nutritional status and risk of a first demyelinating event, in a southern European incident cohort. Methods In this incident case-control study, a detailed nutritional assessment was performed by a registered dietitian in patients with a first demyelinating event, and in age-/sex-matched controls. Body composition analysis, anthropometric evaluation, and blood tests for nutritional status were also performed. Results Eighty-three patients with a first demyelinating event were prospectively recruited over a 1-year period. Low intake of fibers (OR 0.846, p = 0.014), vitamin D (OR 0.730, p < 0.0001), and alpha-linolenic acid (OR 0.283, p = 0.014), high BMI (OR 1.132, p = 0.028), and ever smoker status (OR 4.472, p = 0.003) were all independently associated with risk of a first demyelinating event. Higher intake of rapid absorption carbohydrates, lower intake of vegetal proteins, and higher intake of animal proteins were observed in patients with a first demyelinating event. Conclusions Significant differences between patients and controls are observed in the dietary habits at the time of a first demyelinating event, suggesting low intake of fibers, vitamin D and alpha-linolenic acid as the main dietary risk factors. Furthermore, high cardiovascular risk dietary habits are frequent at the time of MS onset, suggesting the usefulness of nutritional intervention as part of the activities of MS centers.