The present study aimed to develop and clinically evaluate a depression psychotherapy protocol based on an explanatory model of depression in patients with multiple sclerosis (MS). An experimental pretest–posttest design with a follow-up phase was employed. The study population comprised patients aged 20–50 years with MS and a diagnosis of depression in Hamadan, Iran, during the Iranian calendar year 1400 (2021–2022). Forty patients were recruited through convenience and voluntary sampling and randomly assigned in equal numbers to experimental and control groups across two phases: a pilot study (n = 10) and a clinical trial (n = 30). Depression was assessed using the Beck Depression Inventory–Second Edition (BDI-II). The psychotherapy protocol was developed based on an explanatory model addressing neuropsychopathological, emotional, and behavioral factors contributing to depression in patients with MS. It comprised six sequential components: psychoeducation, neuropsychological interventions, emotion regulation, coping-based behavioral interventions, behavioral interventions targeting physical symptoms, and a final review. The protocol was delivered over eight weekly sessions, comprising an initial clinical interview and pretest, six individual psychotherapy sessions, and a posttest session. Following evaluation in the pilot phase, the same intervention was administered to the experimental group in the clinical trial, whereas the control groups received no intervention in either phase. Participants were reassessed one month after treatment. Clinical trial data were analyzed using separate univariate analyses of covariance (ANCOVAs) for posttest and follow-up scores, controlling for baseline depression scores. The pilot phase also revealed significant between-group differences at posttest and follow-up (both p = 0.009), supporting progression to the subsequent clinical trial phase. The results indicated significant differences between the experimental and control groups at both posttest (F(1, 27) = 743.92, p < 0.0001) and the one-month follow-up (F(1, 27) = 887.41, p < 0.0001), indicating that the protocol significantly reduced depressive symptoms and that its effects persisted during follow-up. These findings suggest that a psychotherapy protocol based on an explanatory model of depression in patients with MS can be developed and may effectively reduce depressive symptoms. Further investigation of this multicomponent approach is warranted, particularly in larger samples and with longer follow-up periods.