Depression is among the most common comorbidities in multiple sclerosis and has severe psychosocial consequences. Alterations in neural emotion regulation in amygdala and prefrontal cortex have been recognized as key mechanism of depression but never been investigated in multiple sclerosis depression. In this cross-sectional observational study, we employed a functional MRI task investigating neural emotion regulation by contrasting regulated versus unregulated negative stimulus perception in 16 persons with multiple sclerosis and depression (47.9 ± 11.8 years; 14 female) and 26 persons with multiple sclerosis but without depression (47.3 ± 11.7 years; 14 female). We tested the impact of depression and its interaction with lesions in amygdala-prefrontal fibre tracts on brain activity reflecting emotion regulation. A potential impact of sex, age, information processing speed, disease duration, overall lesion load, grey matter fraction, and treatment was taken into account in these analyses. Patients with depression were less able (i) to downregulate negative emotions than those without ( = -2.25,  = 0.012,  = -0.33) on a behavioural level according to self-report data and (ii) to downregulate activity in a left amygdala coordinate ( = 3.03,  = 0.017,  = 0.39). Moreover, (iii) an interdependent effect of depression and lesions in amygdala-prefrontal tracts on activity was found in two left amygdala coordinates ( = 3.53, p = 0.007,  = 0.48;  = 3.21, p = 0.0158,  = 0.49) and one right amygdala coordinate ( = 3.41, p = 0.009,  = 0.51). Compatible with key elements of the cognitive depression theory formulated for idiopathic depression, our study demonstrates that depression in multiple sclerosis is characterized by impaired neurobehavioural emotion regulation. Complementing these findings, it shows that the relation between neural emotion regulation and depression is affected by lesion load, a key pathological feature of multiple sclerosis, located in amygdala-prefrontal tracts.