Cognitive impairment (CI) in multiple sclerosis (MS) is frequent and determined by a complex interplay between inflammatory and neurodegenerative processes. We aimed to investigate whether CSF parvalbumin (PVALB), measured at the time of diagnosis, may have a prognostic role in patients with MS. In this cohort study, CSF analysis of PVALB and Nf-L levels was performed on all patients at diagnosis (T0) and combined with physical, cognitive, and MRI assessment after an average of 4 years of follow-up (T4) from diagnosis. Cognitive performance was evaluated with a comprehensive neuropsychologic battery: both global (cognitively normal, CN, mildly CI, mCI, and severely CI, sCI) and domain cognitive status (normal/impaired in memory, attention/information processing speed, and executive functions) were considered. Cortical thickness and gray matter volume data were acquired using 3T MRI scanner. A total of 72 patients with MS were included. At diagnosis, PVALB levels were higher in those patients who showed a worsening physical disability after 4 years of follow-up (p = 0.011). CSF PVALB levels were higher in sCI patients than in CN (p = 0.033). Moreover, higher PVALB levels significantly correlated with worse global cognitive (p = 0.024) and memory functioning (p = 0.044). A preliminary clinical threshold for PVALB levels at diagnosis was proposed (2.57 ng/mL), which maximizes the risk of showing CI (in particular, sCI) at follow-up, with a sensitivity of 91% (specificity 30%). No significant results were found for these associations with Nf-L. In addition, patients with higher levels of PVALB at diagnosis showed higher cognitive (p = 0.024) and global fatigue (p = 0.043) at follow-up. Finally, higher PVALB levels also correlated significantly with more pronounced CTh/volume at T4 in the inferior frontal gyrus (p = 0.044), postcentral gyrus (p = 0.025), frontal pole (p = 0.042), transverse temporal gyrus (p = 0.008), and cerebellar cortex (p = 0.041) and higher atrophy (change T0-T4) in the right thalamus (p = 0.038), pericalcarine cortex (p = 0.009), lingual gyrus (p = 0.045), and medial frontal gyrus (p = 0.028). The significant association found between parvalbumin levels in the CSF at diagnosis and cognitive, clinical, and neuroradiologic worsening after 4 years of follow-up support the idea that parvalbumin, in addition to Nf-L, might represent a new potential prognostic biomarker, reflecting MS neurodegenerative processes occurring since early disease stages.