Fatigue is a frequent and debilitating symptom in patients with multiple sclerosis (MS). Affective manifestations are also of high prevalence in this population and can drastically impact the patients’ functioning. A considerable proportion of patients with MS suffer from cognitive deficits affecting general and social cognitive domains. In addition, pain in MS is commonly observed in neurology wards, could be of different types, and may result from or be exacerbated by other MS comorbidities. These complaints tend to cluster together in some patients and seem to have a complex pathophysiology and a challenging management. Exploring the effects of new interventions could improve these outcomes and ameliorate the patients’ quality of life. Neurofeedback (NFB) might have its place in this context by enhancing or reducing the activity of some regions in specific electroencephalographic bands (i.e., theta, alpha, beta, sensorimotor rhythm). This work briefly revisits the principles of NFB and its application. The published data are scarce and heterogeneous yet suggest preliminary evidence on the potential utility of NFB in patients with MS (i.e., depression, fatigue, cognitive deficits and pain). NFB is simple to adapt and easy to coach, and its place in the management of MS symptoms merits further investigations. Comparing different NFB protocols (i.e., cortical target, specific rhythm, session duration and number) and performing a comprehensive evaluation could help developing and optimizing interventions targeting specific symptoms. These aspects could also open the way for the association of this technique with other approaches (i.e., brain stimulation, cognitive rehabilitation, exercise training, psychotherapies) that have proved their worth in some MS domains.