Exercise training has been identified as a highly promising approach for managing the cognitive consequences of multiple sclerosis (MS). This study represents a secondary analysis of resting-state functional connectivity (RSFC) magnetic resonance imaging data from a pilot treadmill walking exercise training intervention for improving cognitive processing speed (CPS) in MS. There were large intervention effects on RSFC between the thalamus and right superior frontal gyrus ( = 1.92) and left medial frontal gyrus ( = 1.70). There further were moderate-to-large intervention effects on CPS ( = 0.72). Such preliminary data highlight FC within thalamocortical circuitry as a potential target for rehabilitation interventions for improving CPS in cognitively impaired individuals with MS.