Recent years have broadened the spectrum of therapeutic strategies and specific agents for treatment of multiple sclerosis (MS). While immune-modulating drugs remain the first-line agents for MS predominantly due to their benign safety profile, our growing understanding of key processes in initiation and progression of MS has pioneered development of new agents with specific targets. One concept of these novel drugs is to hamper migration of immune cells towards the affected central nervous system (CNS). The first oral drug approved for MS therapy, fingolimod inhibits egress of lymphocytes from lymph nodes; the monoclonal antibody natalizumab prevents inflammatory CNS infiltration by blocking required adhesion molecules. The second concept is to deplete T cells and/or B cells from the peripheral circulation using highly specific monoclonal antibodies such as alemtuzumab (anti-CD52) or rituximab/ocrelizumab (anti-CD20). All of these novel, highly effective agents are a substantial improvement in our therapeutic armamentarium; however, they have in common to potentially lower the abundance of immune cells within the CNS, thereby collaterally affecting immune surveillance within this well-controlled compartment. In this review, we aim to critically evaluate the risk/benefit ratio of therapeutic strategies in treatment of MS with a specific focus on infectious neurological side effects.