This study (ACSEPT) aimed to assess anxiety evolution according to coping strategy in patients with multiple sclerosis (MS) during their first months of treatment with interferon (IFN)-β1a. Recently diagnosed relapsing-remitting MS (RRMS) patients (n = 255) were included and received standardized information on MS. At inclusion, the preferred coping mode was determined using the Coping Inventory for Stressful Situations (CISS). Anxiety and depression were assessed at inclusion and after 3 months using the Spielberger State-Trait Anxiety Inventory and the Beck Depression Inventory, respectively. At inclusion, the preferred coping strategy was task-oriented for most patients (53%), 51% were considered as anxious, and the mean Beck depression score was low. Emotion-oriented patients were more anxious and more depressed than the 2 other coping groups (task- and avoidance-oriented). During the first 3 months of IFN treatment, the anxiety level slightly decreased in the total population, more intensively in the emotion-oriented group, and there were no clinically significant changes in the Beck depression score. Anxiety and depression remained stable or decreased during the first 3 months of IFN treatment, depending on coping strategy. Identifying these coping strategies during therapy initiation may allow customized support and improve treatment adherence.