Immunomodulatory and immunosuppressive treatments for multiple sclerosis (MS) are associated with an increased risk of infection, which makes treatment of this condition challenging in daily clinical practice. Use of the expanding range of available drugs to treat MS requires extensive knowledge of treatment-associated infections, risk-minimizing strategies and approaches to monitoring and treatment of such adverse events. An interdisciplinary approach to evaluate the infectious events associated with available MS treatments has become increasingly relevant. In addition, individual stratification of treatment-related infectious risks is necessary when choosing therapies for patients with MS, as well as during and after therapy. Determination of the individual risk of infection following serial administration of different immunotherapies is also crucial. Here, we review the modes of action of the available MS drugs, and relate this information to the current knowledge of drug-specific infectious risks and risk-minimizing strategies.