Background: The association between intra-uterine exposure to maternal smoking and risk of multiple sclerosis (MS) has been little studied and with conflicting results. Objective: To examine the risk of MS in offspring exposed intra-uterine to maternal smoking. In addition, to re-examine prior observations of an elevated risk of MS among smokers, assuming that self-reported smoking during pregnancy reflects the woman’s general smoking habits. Methods: The study cohort included all Danish women, pregnant in the period 1991–2018, (n = 789,299) and singletons from these pregnancies (n = 879,135). Nationwide information on maternal smoking during pregnancy and MS cases in the study cohort were obtained from the Medical Birth Register and the National Patient Register. Cox regression analysis was used to estimate hazard ratios (HRs) for the association between smoking and MS risk. Results: Women who smoked during pregnancy had a 42% increased risk of developing MS compared with non-smoking women (HR = 1.42 (1.32–1.52), n = 1,296). The risk of MS among singletons of women who smoked during pregnancy was 38% higher than that among singletons born to non-smoking women (HR = 1.38 (1.08–1.76), n = 110). Conclusion: Our observations add further to the evidence implicating smoking in the development of MS and suggest that intra-uterine exposure to tobacco smoke may increase MS risk.