We investigated the risks of twins for multiple sclerosis (MS). Our data are linked registers of all Danish twins and of all Danes born between 1920 and 1970 in whom MS was diagnosed before 1997. We compared differences in the risks for MS by Cox regression and standardized incidence ratios. Our analyses suggest that dizygotic twins have an approximately 60% lower risk for MS than monozygotic twins and a 20% lower risk than singletons. Monozygotic twins appear to have a somewhat higher risk for MS than singletons albeit not statistically significant. We offer no biological explanation for our findings, but suggest that either sharing fetal life with a genotypically different individual is beneficial for the immune system or that there is a linkage between the genes that influence dizygotic twinning and other genes that protect against MS.