Learning and memory impairments are common in individuals with multiple sclerosis (MS) and have pervasive effects on everyday life functioning. Hence, memory and learning have received particular attention in the cognitive rehabilitation literature in MS. The effectiveness of memory rehabilitation on memory performance is supported by several studies, but the generalisability of the benefits to daily life and memory for real-life events has rarely been examined. Recently, a new line of research focusing on memory for personal life events (i.e., autobiographical memory) has emerged in the MS literature. This approach is complementary to classical learning and memory paradigms and also allows for approaching memory in a broader context, one that considers memory as the ability to remember past episodes and imagine events that may occur in one's personal future (i.e., future thinking). This review provides an overview of the findings in this line of work. The first part summarises current evidence regarding the cognitive and neural mechanisms underlying autobiographical memory and future thinking impairments in MS. It points out that these domains are frequently and early impaired in individuals with MS because of an executive/frontal-related deficit. Individuals with MS are generally aware of these deficits and their negative impact on everyday life, so the development of strategies to alleviate such deficits seems of paramount importance. Thus, in the second part, I present the main outcomes of a cognitive intervention developed by our research group, which has been specifically designed to alleviate autobiographical memory and future thinking impairments in individuals with MS. The implications of these findings for neuropsychological care and well-being of individuals with MS are discussed in the final section, with an emphasis on the functional role of autobiographical memory and future thinking in various domains, including personal identity.