Objective To investigate how people with multiple sclerosis (MS) experience their participation in individual, face‐to‐face cognitive behavioural therapy (CBT) aimed at alleviating depressive symptoms. Method Semistructured interviews with 12 participants were conducted after CBT and analyzed using qualitative content analysis. Results Two main themes emerged: CBT as a demanding process and confronting everyday life after CBT with self‐knowledge and well‐being. The participants had gained strategies for handling feelings of depression and anxiety. The therapist was considered important for guiding them through the demanding therapy. Conclusion It is important to inform the participants of what CBT entails so that they are mentally prepared for the demanding process and can make the necessary adjustments in their daily life. Knowledge of MS among the therapists as well as collaboration with the multidisciplinary MS care may facilitate participation in CBT.