Multiple sclerosis (MS) is a modern neuro-inflammatory and -degenerative disease, which is most prevalent in Northern Europe. Whilst it is known that inherited risk to MS is located within or within close proximity to immune genes it is unknown when, where and how this genetic risk originated. By using the largest ancient genome dataset from the Stone Age, along with new Medieval and post-Medieval genomes, we show that many of the genetic risk variants for MS rose to higher frequency among pastoralists located on the Pontic Steppe, and were brought into Europe by the Yamnaya-related migration approximately 5,000 years ago. We further show that these MS-associated immunogenetic variants underwent positive selection both within the Steppe population, and later in Europe, likely driven by pathogenic challenges coinciding with dietary and lifestyle environmental changes. This study highlights the critical importance of this period as a determinant of modern immune responses and its subsequent impact on the risk of developing MS in a changing environment.