The factors associated with cognitive functions in patients with multiple sclerosis (PwMS) are not yet clear. The aims of this study were (1) to compare clinical features and physical performance in healthy controls, and PwMS with and without cognitive impairment, and (2) to determine the relationship between cognitive domains and demographics characteristics, clinical features and physical performance in PwMS. A total of 112 PwMS and 25 healthy controls participated in this study. Cognitive functions were evaluated by Brief Repeatable Battery of Neuropsychological Tests (BRB-N). Based on cognitive performances by BRB-N, PwMS were divided into two groups as MS patients with impaired (MS-I, n: 57) and with normal (MS-N, n: 55) cognitive functions. For clinical features, fatigue, mood and sleep quality were evaluated by the Fatigue Impact Scale, Beck's Depression Inventory, Pittsburgh Sleep Quality Index, respectively. For physical performances, balance and walking capacity were evaluated by posturography and Six-Minute Walking Test, respectively. The results showed that the education years, postural stability and walking capacity in MS-N and healthy controls were higher than in MS-I (P < 0.05). In addition, visuospatial memory was correlated with both postural stability under all sensory conditions and walking capacity; verbal memory was correlated with education years, postural stability on eyes closed-foam surface and walking capacity; verbal fluency was correlated with only walking capacity; information processing speed was correlated with education years, postural stability under all sensory conditions and walking capacity (P < 0.001). This study suggests that the interventions that aim to improve physical performance might protect and even improve cognitive functions in PwMS.