Neuropsychological impairment affects 40-65% of multiple sclerosis patients, mainly involving speed in information processing, attention, executive functions and memory. Deterioration occurs over time independently from disability and seems to correlate particularly with magnetic resonance imaging (MRI) atrophy measures. Studies on therapies effective in controlling cognitive impairment are scanty. We found that intensive and specific training of attention, information processing and executive functions is significantly effective in ameliorating both neuropsychological treated functions and in reducing depression. Preliminary functional MRI data suggest that possible neural correlates of this neuropsychological training could be an exercise-induced activation of prefrontal and cingulate cortices.