Multiple sclerosis (MS) is considered to be an autoimmune disease that is caused by the immune system attacking the central nervous system (CNS) leading to myelin loss and axonal damage, resulting in long-term disability. The pathophysiology of MS is complex with involvement of genetic and environmental factors that define the susceptibility to generate the autoimmune attack. In the last decade, several immunomodulatory drugs have been approved, including recombinant proteins such as interferon-beta, monoclonal antibodies such as natalizumab, or small chemicals including glatiramer acetate. In addition, there is a wide pipeline of new immunomodulators finishing Phase II or III trials. However, at present there are no approved treatments that directly reduce nervous system damage or enhance its repair. Novel neuroprotective agents have been identified in pre-clinical studies but their development is being prevented by the absence of appropriate understanding of the mechanisms of CNS damage by inflammation as well as by the lack of clinical platforms to test them. In this review, we describe the different mechanisms of axonal injury and discuss some of the principal therapeutic candidates that could provide neuroprotection in MS.