The neurobehavioral sequelae of multiple sclerosis (MS) consistently include fatigue, depression and cognitive dysfunction with slower processing figuring prominently. However, processing speed is often confounded with accuracy and the relative contributions of depressed mood and fatigue in influencing speed of processing are difficult to quantify. Therefore, there were three objectives in this study. First, compare processing speed in MS and healthy controls under conditions in which accuracy is not confounded with speed; second, determine the relationships between information processing speed and cognition; third, determine the contributions of clinical depression and fatigue in mediating these relationships. Forty-eight participants with confirmed MS participated. The findings suggested that slower processing was correlated with higher levels of depressed mood, fatigue, lower verbal fluency, fewer words and digits recalled and poorer recall of visual-spatial information. Depression and physical fatigue had the greatest influence on the association between processing speed and more effortful tasks (e.g., immediate word recall and word list learning). Current findings extend previous work by using a more sensitive measure of processing speed and by quantifying the relative contributions of depression and fatigue in mediating relationships between processing speed and cognition.