Introduction: Multiple sclerosis (MS) is a chronic inflammatory disease of the central nervous system, commonly accompanied by symptoms such as fatigue and depression. Brain-derived neurotrophic factor (BDNF) plays a critical role in neuronal health, myelin repair, and mood regulation. The purpose of this study was to investigate the effects of eight weeks of Pilates training on serum BDNF levels, fatigue, and depression in women with MS. Materials and Methods: In this quasi-experimental study, 22 women with MS were randomly assigned to a Pilates training group (n =12) or a control group (n =10). The training group performed a Pilates program for eight weeks, three sessions per week. Serum BDNF levels (ELISA method), fatigue scores (FSS), and depression scores (BDI-II) were assessed before and after the intervention. Data were analyzed using analysis of covariance (ANCOVA) with baseline adjustment in SPSS version 26 (p < 0.05). Results: ANCOVA results indicated that, after controlling for baseline values, serum BDNF levels increased significantly in the training group compared to the control group (p < 0.05). Adjusted reductions in fatigue and depression scores were also significantly greater in the training group than in the control group (p < 0.05). No significant correlations were found between changes in BDNF and changes in fatigue (r = −0.29) or depression (r = 0.18). Conclusion: Eight weeks of Pilates training may effectively enhance serum BDNF levels and improve fatigue and depression symptoms, supporting its use as a safe and beneficial complementary intervention in the rehabilitation of patients with MS.