Background/Objectives: The evidence for diet as a risk factor for multiple sclerosis (MS) is inconclusive. We examined the associations between fish consumption and risk of a first clinical diagnosis of central nervous system demyelination (FCD), a common precursor to MS. Methods: The 2003–2006 Ausimmune Study was a case-control study examining environmental risk factors for FCD, with participants recruited from four regions of Australia and matched on age, sex, and study region. Dietary intake data were collected using a food frequency questionnaire. We used conditional logistic regression models to test associations between fish consumption (total, tinned, grilled, and fried) and risk of FCD (249 cases and 438 controls), adjusting for history of infectious mononucleosis, smoking, serum 25-hydroxyvitamin D concentrations, socio-economic status, omega-3 supplement use, dietary under-reporting, and total energy intake. Results: Higher total fish consumption (per 30 g/day, equivalent to two serves/week) was associated with an 18% reduced risk of FCD (AOR 0.82; 95% CI 0.70, 0.97). While we found no statistically significant associations between grilled and fried fish consumption and risk of FCD, higher tinned fish consumption (per 30 g/day) was associated with a 41% reduced risk of FCD (AOR 0.59; 95% CI 0.39, 0.89). Conclusions: Tinned fish is predominantly oily, whereas grilled and fried fish are likely to be a combination of oily and white types. Oily fish is high in vitamin D and very long chain polyunsaturated omega-3 fatty acids, both of which may be beneficial in relation to MS.