Volume loss in the deep gray matter (DGM) has been reported in patients with multiple sclerosis (MS) already at early stages of the disease and is thought to progress throughout the disease course. To investigate the impact and predictive value of volume loss in DGM and thalamic subnuclei on disability worsening in patients MS over a 6-year follow-up period. Hundred and seventy-nine patients with RRMS (132 women; median Expanded Disability Status Scale, EDSS: 2.5) and 50 with SPMS (27 women; median EDSS: 4.5) were included in the study. Patients underwent annual EDSS assessments and annual MRI at 1.5T. DGM/thalamic subnuclei volumes were identified on high-resolution T1-weighted. A hierarchical linear mixed model for each anatomical DGM area and each thalamic subnucleus was performed to investigate the associations with disability scores. Cox regression was used to estimate the predictive properties of volume loss in DGM and thalamic subnuclei on disease worsening. In the whole sample and in RRMS, volumes of the thalamus and the striatum were associated with the EDSS; however, only thalamic volume loss was associated with EDSS change at follow-up. Regarding thalamic subnuclei, volume loss in the anterior nucleus, the pulvinar and the ventral anterior nucleus was associated with EDSS change in the whole cohort. A trend was observed for the ventral lateral nucleus. Volume loss in the anterior and ventral anterior nuclei was associated with EDSS change over time in patients with RRMS. Moreover, MS phenotype and annual rates of volume loss in the thalamus and ventral lateral nucleus were predictive of disability worsening. These results highlight the relevance of volume loss in the thalamus as a key metric for predicting disability worsening as assessed by EDSS (in RRMS). Moreover, the volume loss in specific nuclei such as the ventral lateral nucleus seems to play a role in disability worsening.