In women with multiple sclerosis (MS), depression and sexual dysfunction (SD) are common. Whether SD promotes depression or vice versa remains unclear despite therapeutic relevance. Therefore, we aimed to assess whether SD more likely triggers depression or vice versa. In 83 female MS patients and 21 age-matched healthy women, we assessed depression, using the Beck Depression Inventory-V (BDI-V), and SD using the Female Sexual Function Index (FSFI). We diagnosed depression with BDI-V-scores >35 and SD with FSFI scores < 26.55. We divided patients into groups with and without SD, with and without depression. Between groups, we compared prevalence of SD and depression (Fisher's-exact-test), age, MS-duration, MS-severity, BDI-V-, and FSFI scores (Mann-Whitney U-test; significance: p < 0.05). A total of 37/83 MS patients and 1/21 controls had SD; 28/83 patients and 3/21 controls had depression; 51.4% patients with SD but only 19.6% without SD had depression (p = 0.003). SD was present in 67.9% depressed and 32.7% non-depressed patients. BDI-V-scores were higher in patients with SD than in patients without SD. FSFI scores were lower in depressed than non-depressed patients. In conclusion, SD was more common than depression. SD afflicted 67.9% depressed MS patients and was also more common in non-depressed MS patients than controls. SD may occur independently from depression while increased depressiveness seems linked to coexistent SD.