The early and precise diagnosis, the prognosis, and the clinical management of multiple sclerosis, remain a considerable challenge. In recent years, the development of novel and powerful proteomic techniques prompted the use of these approaches for the search of unique biomarkers in the cerebrospinal fluid of multiple sclerosis patients. A few studies have also utilized proteomics to delineate the profile of differentially expressed proteins in animal models of the human disease in order to gain global insights into affected pathways. The identification of differentially expressed proteins may be an initial step in the discovery of novel targets and mechanisms that play critical roles in the pathology of multiple sclerosis. Based on these findings, future investigations may elucidate the events leading to demyelination, axonal damage, and neurodegeneration, providing better insights into mechanisms governing the onset and progression of the disease. Although these proteomic studies provide valuable information, they are also faced with a number of challenges. The present review discusses some of the strengths and limitations of proteomic investigations as applied to multiple sclerosis.