Patients with multiple sclerosis taking immunosuppressive therapy may be at risk of reactivating latent pathogens, community-acquired infections, worsening asymptomatic chronic infections, and contracting de novo infections. This risk was evaluated mainly in short-term clinical trials and few studies have investigated this risk in real-life settings. In clinical practice, this infectious risk should be evaluated when a multiple sclerosis diagnosis is made in order to propose specific follow-up or immunization as soon as possible and thus avoid contraindications or risk of lowered vaccination responses. Systematic screening should also be proposed for each patient before second-line therapy to ensure the risk is in line with the treatment plan. This systematic screening must include HIV and hepatitis B and C for all patients before treatment. The immunization schedule needs to be updated and influenza vaccine could be proposed each year for patients receiving disease-modifying drugs. Prevention is preferable to treatment, reducing both infectious morbidity and mortality, as well as interruptions in multiple sclerosis therapy. Therefore, preventive approaches should be tailored to individual patient and treatment risk factors. In this review, we describe the infectious risk with immunossuppressive therapies and propose minimal screening recommendations to evaluate the risk and adapt the prevention and strategy of immunization to each case at multiple sclerosis diagnosis and at specific follow-up visits to avoid difficulties using live-attenuated vaccines or risk reduced immune responses.