The negative impact of smoking in multiple sclerosis is well established; however, there is much less evidence as to whether smoking cessation is beneficial to progression in multiple sclerosis. Adults with multiple sclerosis registered on the United Kingdom Multiple Sclerosis Register (2011–20) formed this retrospective and prospective cohort study. Primary outcomes were changes in three patient-reported outcomes: normalized Multiple Sclerosis Physical Impact Scale (MSIS-29-Phys), normalized Multiple Sclerosis Walking Scale (MSWS-12) and the Hospital Anxiety and Depression Scale (HADS). Time to event outcomes were clinically significant increases in the patient-reported outcomes. The study included 7983 participants; 4130 (51.7%) of these had ever smoked, of whom 1315 (16.5%) were current smokers and 2815/4130 (68.2%) were former smokers. For all patient-reported outcomes, current smokers at the time of completing their first questionnaire had higher patient-reported outcomes scores indicating higher disability compared to those who had never smoked (∼10 points difference in MSIS-29-Phys and MSWS-12; 1.5–1.8 points for HADS-Anxiety and HADS-Depression). There was no improvement in patient-reported outcomes scores with increasing time since quitting in former smokers. Nine hundred and twenty-three participants formed the prospective parallel group, which demonstrated that MSIS-29-Phys [median (IQR) 5.03 (3.71, 6.34)], MSWS-12 [median (IQR) 5.28 (3.62, 6.94)] and HADS-Depression [median (IQR) 0.71 (0.47, 0.96)] scores worsened over a period of 4 years, whereas HADS-Anxiety remained stable. Smoking status was significant at Year 4; current smokers had higher MSIS-29-Phys and HADS-Anxiety scores [median (IQR) 3.05 (0.22, 5.88) and 1.14 (0.52, 1.76), respectively] while former smokers had a lower MSIS-29-Phys score of −2.91 (−5.03, −0.79). A total of 4642 participants comprised the time to event analysis. Still smoking was associated with a shorter time to worsening event in all patient-reported outcomes (MSIS-29-Phys: n = 4436, P = 0.0013; MSWS-12: n = 3902, P = 0.0061; HADS-Anxiety: n = 4511, P = 0.0017; HADS-Depression: n = 4511, P < 0.0001). Worsening in motor disability (MSIS-29-Phys and MSWS-12) was independent of baseline HADS-Anxiety and HADS-Depression scores. There was no statistically significant difference in the rate of worsening between never and former smokers. When smokers quit, there is a slowing in the rate of motor disability deterioration so that it matches the rate of motor decline in those who have never smoked. This suggests that smoking cessation is beneficial for people with multiple sclerosis.