Detecting clinically significant symptoms of depression and anxiety in medically ill patients using self-report rating scales presents a challenge because of somatic confounders. The Hospital Anxiety and Depression Scale (HADS) was developed with this in mind, but has never been validated for a multiple sclerosis population. Our objective was to validate the HADS for multiple sclerosis patients. Multiple sclerosis patients were interviewed for the presence of major depression (n = 180) and anxiety disorders (n = 140) with the Structured Clinical Interview for DSM-IV disorders. A receiver operating characteristic (ROC) analysis was undertaken to assess which HADS cut-off scores give the best yield with respect to diagnoses of major depression and all anxiety disorders defined by the Structured Clinical Interview for DSM-IV. A threshold score of 8 or greater on the HADS depression subscale provides a sensitivity of 90% and specificity of 87.3% (ROC area under the curve 0.938). The same cut-off score gives a sensitivity of 88.5% and a specificity of 80.7% on the anxiety subscale (ROC area under the curve 0.913), but for generalized anxiety disorder only. The study confirms the usefulness of the HADS as a marker of major depression and generalized anxiety disorder, but not other anxiety disorders, in multiple sclerosis patients.