Cognitive impairment is prevalent, disabling, and poorly managed in persons with multiple sclerosis (MS). This cross-sectional study examined the associations among physical activity, cognitive processing speed, and learning and memory in 33 persons with MS who underwent neuropsychological assessments and wore a physical activity monitor for 7 days. Cognitive impairment was greatest in cognitive processing speed. Physical activity was significantly correlated with cognitive processing speed (pr = .35), but not learning and memory (pr = .20), after controlling for sex, age, and education. Researchers should examine exercise training and physical activity effects on cognitive performance, particularly processing speed, in MS.