The aim of our study was to investigate whether self-reported feeling of loneliness (FoL) and COVID-19-specific health anxiety were associated with the presence of depressive symptoms during the first coronavirus disease 2019 (COVID-19) wave. Questionnaires of 603 persons of the Swiss Multiple Sclerosis Registry (SMSR) were cross-sectionally analyzed using descriptive and multivariable regression methods. The survey response rate was 63.9%. Depressive symptoms were assessed by the Beck Depression Inventory-Fast Screen (BDI-FS). COVID-19-specific health anxiety and FoL were measured using two 5-item Likert scaled pertinent questions. High scoring FoL (2.52, 95% confidence interval (CI) (2.06-2.98)) and/or COVID-19 specific health anxiety (1.36, 95% CI (0.87-1.85)) were significantly associated with depressive symptoms. Further stratification analysis showed that the impact of FoL on depressive symptoms affected all age groups. However, it was more pronounced in younger PwMS, whereas an impact of COVID-19 specific health anxiety on depressive symptoms was particularly observed in middle-aged PwMS. FoL and COVID-19-specific health anxiety were age-dependently associated with depressive symptoms during the first COVID-19 wave in Switzerland. Our findings could guide physicians, health authorities, and self-help groups to better accompany PwMS in times of public health crises.