Cognitive impairment may result in significant disability in patients with Multiple Sclerosis (MS). Previous Magnetic Resonance Imaging (MRI) studies on cognition in MS were mainly based on measures of gross brain involvement. This study, using voxel-based morphometry (VBM), aims to investigate associations between the regional distribution of grey matter (GM) damage and cognitive performance in patients with MS. Eighteen MS patients underwent an extensive neuropsychological battery and MRI, including T2-weighted scans and T1-weighted volumes. A group of 18 healthy individuals were also investigated by MRI and served as controls for the VBM. A cross-sectional analysis was first performed, to assess the pattern of regional GM atrophy in MS patients. Then, the impact of regional GM damage on patients’ neuropsychological performance was investigated by multiple regression analyses in the patient group. Correlations between global indexes of brain damage and neuropsychological measures were also assessed for comparison with previous literature. The comparison between MS patients and healthy controls revealed a widespread pattern of regional GM atrophy. Consistent with previous studies, associations were found between neuropsychological scores, and global brain atrophy and T2-lesion volumes. Critically, significant associations were found between scores on the Symbol Digit Modalities test and Long Delay Cued Recall on the California Verbal Learning Test, and regional GM volumes in well localized areas of the prefrontal, parietal, temporal, and insular cortex. This study confirms that global assessments of brain damage correlate with measures of cognitive impairment in MS. Interestingly, VBM contributes to clarify those brain regions that more likely determine the cognitive deficits observed in patients. These findings clarify the pathophysiology of cognitive impairment in MS, and propose measures which could be considered for longitudinal monitoring of patients.