The effectiveness of any physical exercise (PE) program is elementary based on one’s interest, while that interest depends on personal experience. This study explored the PE-preferences and -experiences of individuals with Multiple Sclerosis (MS). Study included 79 individuals (13 males, and 66 females) diagnosed with MS, aged 38.99±10.72 years. The PE-preferences and -experiences were evaluated using the newly developed Physical Exercise Preferences in Multiple Sclerosis Questionnaire (PEPMSQ). The reliability of the PEPMSQ was checked with Intraclass Correlation Coefficients (ICC), while the validity was checked by determining the differences in PEPMSQ scores between males and females and between individuals who are exercising and those who are not exercising, all using the Mann-Whittney U test (MW) and Receiver Operating Characteristics curves (Area Under the Curve – AUC). The PEPMSQ demonstrated acceptable test-retest reliability (ICC values of 0.71 to 0.95 for most of the items). Analysis of differences evidenced no gender differences in PEPMSQ scores, while exercising-participants perceive: (i) greater health benefits (MW=-2.57, p=0.01), and (ii) benefits from strength exercises (MW=-2.75, p=0.01; AUC=0.71), compared to non-exercising participants. It seems that strength training should be a key component of exercise programs tailored for MS patients. Future studies are encouraged to refine the PEPMSQ and explore the dynamic relationship between MS symptoms, exercise preferences over time, and various health-indices.