Multiple sclerosis is often associated with impaired cognitive functioning, of mainly attention, information processing speed, executive functions and memory. Cognitive alterations have direct functional consequences for quality of life, ranging from occupational activities to personal life and professional career. Additionally, there is a complex interplay between cognitive impairment and affective functions, such as depression or anxiety, which in turn has a negative impact on quality of life. Therefore, current work aims to reduce the impact of cognitive alterations on daily life rather than only defining their nature and severity. For this purpose, programs of cognitive rehabilitation have been increasingly used over the last decades. Although promising, their effects have not been studied widely and further works are needed to demonstrate their real daily-life efficiency and their effects over the long-term. Cognitive remediation must be integrated in a wider perspective rather than improve specific task performance, in which psychological care as well as the patient's feelings of being cared for and listened to remain essential. From this perspective, new approaches have developed in parallel. This extended review shows the potential benefit of cognitive-behavioral therapies, mindfulness or physical exercise on varied psychological functions in multiple sclerosis. Among others, these various therapies aim to help patients better conceive their cognitive functioning through their (neuro)psychological care and their daily life, hence improving their quality of life and self-esteem. They also aim to provide more appropriate long-term care by reconciling the quasi-systematic use of non-pharmacological approaches and follow-up clinical routine consultations with health care providers.