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Objective Patient's engagement in their own treatment has been shown to improve clinical outcomes. A better understanding of the association between self-management in multiple sclerosis (MS) and potentially modifiable psychological factors may provide clinicians with strategies to design and stimulate better patient activation for self-managing health. Therefore, in this study, we examined whether cognitive factors, namely self-efficacy, acceptance of illness, optimism, and health locus of control (HLC), are associated with self-management in MS. Methods This is a cross-sectional study. A total of 382 patients with MS who completed the MS Self-Management Scale-Revised and the questionnaires that measure self-efficacy, optimism, illness acceptance, and HLC were included in the study. Results A hierarchical multiple regression revealed that power of others' HLC (b = 0.42, P ≤ .001), optimism (b = 0.27, P ≤ .01), internal HLC (b = -0.11, P = .017), and self-efficacy (b = 0.11, P = .031), together with control variables (longer disease duration and higher disability), explained 30% of the variance in the dependent variable. Conclusions In the case of MS, self-management is associated with patient's perception that healthcare professionals control their health, higher self-efficacy, optimism, and, surprisingly, lower internal HLC. The results of this study indicate the vital role of the healthcare staff in encouraging the patients with MS toward activities related to self-management and provide new insights on the psychological intervention aimed at improving self-management by patients.