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Abstract Objective Comorbid anxiety occurs often in MS and is associated with disability progression. Polygenic scores offer a possible means of anxiety risk prediction but often have not been validated outside the original discovery population. We aimed to investigate the association between the Generalized Anxiety Disorder 2‐item scale polygenic score with anxiety in MS. Methods Using a case–control design, participants from Canadian, UK Biobank, and United States cohorts were grouped into cases (MS/comorbid anxiety) or controls (MS/no anxiety, anxiety/no immune disease or healthy). We used multiple anxiety measures: current symptoms, lifetime interview‐diagnosed, and lifetime self‐report physician‐diagnosed. The polygenic score was computed for current anxiety symptoms using summary statistics from a previous genome‐wide association study and was tested using regression. Results A total of 71,343 individuals of European genetic ancestry were used: Canada (n = 334; 212 MS), UK Biobank (n = 70,431; 1,390 MS), and the USA (n = 578 MS). Meta‐analyses identified that in MS, each 1‐SD increase in the polygenic score was associated with ~50% increased odds of comorbid moderate anxious symptoms compared to those with less than moderate anxious symptoms (OR: 1.47, 95% CI: 1.09–1.99). We found a similar direction of effects in the other measures. MS had a similar anxiety genetic burden compared to people with anxiety as the index disease. Interpretation Higher genetic burden for anxiety was associated with significantly increased odds of moderate anxious symptoms in MS of European genetic ancestry which did not differ from those with anxiety and no comorbid immune disease. This study suggests a genetic basis for anxiety in MS.