Slowed information processing speed (IPS) is the hallmark and first cognitive domain to be altered in multiple sclerosis (MS) patients. Insufficient serum vitamin D was previously associated with disease development, relapses, and progression, but little is reported on cognition. However, vitamin D and cognitive impairment (CI) in other neurodegenerative diseases have already been linked. We explored the possible correlation between vitamin D and IPS at diagnosis and early disability at last follow-up in 81 MS patients. At diagnosis, we collected vitamin D levels and performed a Symbol Digit Modalities Test (SDMT). Raw scores were adjusted for age, gender, and educational level. Early disability was evaluated with MS severity score (MSSS) and age-related MSSS (ARMSS). A total of 71 patients (86.58%) showed hypovitaminosis D (19.71 ± 8.76 ng/mL) and 18 patients (21.95%) had CI. Patients with CI showed severe hypovitaminosis D (p = 0.004). No patients with sufficient vitamin D levels had CI. We found a positive correlation between vitamin D levels at diagnosis and (1) SDMT raw and z-score that persisted after correction for sunlight exposure and MRI baseline characteristics, and (2) EDSS, MSSS, and ARMSS after a mean 2 year follow-up. Low vitamin D levels may affect both cognition and early disability in newly diagnosed MS patients.