The objective of this study was to investigate whether the presence of lipid-specific oligoclonal IgM bands (LS-OCMB) in cerebrospinal fluid (CSF) influences the response to treatment with beta-interferon in relapsing—remitting multiple sclerosis (RRMS) patients. We performed a collaborative prospective study including RRMS patients with brain MRI and LS-OCMB studies performed before starting interferon treatment. The primary endpoint was the risk of having a relapse after treatment initiation. Secondary endpoints included relapse rate, relapse-rate reduction, proportion of relapse-free patients and proportion of patients with sustained disability increase during follow-up. One-hundred and two patients were included. After a mean follow-up of 37.4 months, the risk of suffering a relapse was two-fold higher in patients with LS-OCMB (hazard ratio 2.0, 95% confidence interval 1.1—3.8). LS-OCMB+ patients showed lower reduction in relapse rate (51.8% versus 80.8%; p < 0.0001), higher relapse rate in the first year (0.8 versus 0.2; p = 0.001), lower proportion of relapse-free patients (25% versus 61.3%; p = 0.003), and higher proportion of patients with sustained 1.0 increase in the Expanded Disability Status Score (45% versus 12.9%; p = 0.0003). In conclusion, LS-OCMB can have an influence on the response to interferon treatment in RRMS patients. They could be used as a biological marker to predict high inflammatory activity after treatment.