The use of disease-modifying therapies (DMT) has led to a paradigm shift in the management of multiple sclerosis. A comprehensive narrative review was conducted through an extensive literature search including Medline and Google Scholar to elucidate the link between DMT and the propensity of cutaneous malignancies. Sphingosine-1-phosphate receptor modulators, such as fingolimod and siponimod are associated with a higher risk of basal cell carcinoma (BCC), but not squamous cell carcinoma, or melanoma. The associated physiopathological mechanisms are not fully understood. Alemtuzumab and cladribine show isolated associations with skin cancer. Regarding other DMT, no increased risk has ever been found. Given the evidence currently available, it is of paramount importance to advocate for necessary dermatological assessments that should be individualized to the risk profile of each patient. Nonetheless, additional prospective studies are still needed to establish efficient dermatological follow-up protocols.