There is increasing evidence that neurofilament light chain (NF-L) can be considered as a biomarker for neuro-axonal damage. This polypeptide can be released into the cerebrospinal fluid (CSF) and the blood, where it can be quantified. The concentration of NF-L is elevated in patients with multiple sclerosis (MS) and psychiatric disorders. We aimed to investigate the NF-L levels in the CSF from treated MS patients and the relationship with depression or anxiety. The study involved three groups: control group (individuals without inflammation), the relapse-remitting multiple sclerosis (RRMS)-untreated group, and the RRMS-Fingo group (RRMS patients who were treated with fingolimod). MS disability was assessed by the Expanded Disability Status Scale, and depression and anxiety were evaluated by a neuropsychologist, using the Hospital Anxiety and Depression Scale, the Beck Depression Inventory-II, and the Beck Anxiety Inventory. Individual CSF samples were collected to measure NF-L levels. The results of the statistical analysis on levels of NF-L in the CSF of control subjects, RRMS-untreated patients, and RRMS-Fingo patients were significant. The relationship between depression and anxiety in RRMS-Fingo patients and NF-L levels was not statistically significant. In conclusion, MS events such as anxiety and depression appear to contribute to the onset of clinical relapses, subclinical cases, and neurodegeneration.