The findings of the study were published in the journal 'Neurology', the medical journal of the American Academy of Neurology.
The study also found that people with MS and depression have an increased risk of developing a vascular disease such as heart attack and stroke.
"These findings underscore the importance of identifying depression in people with MS as well as monitoring for other risk factors for heart disease and stroke," said study author Raffaele Palladino, MD, PhD, of Imperial College of London in the United Kingdom.
"Future studies need to be conducted to look at whether treating depression in people with MS could reduce the risk of vascular disease as well as death overtime," added Palladino.
The study involved 12,251 people with MS and 72,572 people who did not have MS.
Researchers looked at medical records to see who developed vascular disease or died over a period of 10 years.
At the start of the study, 21 per cent of the people with MS had depression and 9 per cent of the people without MS had depression.
The researchers found that people with both MS and depression had a mortality rate from any cause of 10.3 cases per 100,000 person-years.
Person-years take into account the number of people in a study as well as the amount of time spent in the study.
The mortality rate for people with MS without depression was 10.6, for people who had depression without MS it was 3.6 and for people with neither condition it was 2.5.
Once researchers adjusted for other factors that could affect the risk of death such as smoking and diabetes, they found that people with both conditions were more than five times more likely to die during the next decade than people with neither condition.
People with MS without depression were nearly four times more likely to die than people with neither condition and people with depression without MS were nearly twice as likely to die.
For the risk of vascular disease, the rate for people with both MS and depression was 2.4 cases per 100,000 person-years; 1.2 for people with MS without depression; 1.3 for people with depression without MS; and 0.7 for people with neither condition.
After adjusting for other factors, researchers found that people with both conditions were more than three times as likely to develop the vascular disease as people with neither condition.
"When we looked at the risk of death, we found that the joint effect of MS plus depression equalled more than the effect for each individual factor alone — in other words, the two conditions had a synergistic effect," Palladino said.
"A total of 14 per cent of the effect on mortality rate could be attributed to the interaction between these two conditions," Palladino added.
A limitation of the study was that researchers did not have information on risk factors such as Body Mass Index (BMI), which could affect the risk of vascular disease and death.