Background: The secondary impacts of the COVID-19 pandemic are distress triggers and risk factors for mental health. Conversely, self-compassion skills and compassionate thoughts/behaviors towards suffering may contribute to their alleviation. Both psychological constructs are interrelated in life-threatening diseases such as multiple sclerosis (MS). Methods: The Teruel Study retrospectively evaluated the impact of strict confinement on the 44 people with MS of this Spanish province and 24 caregivers, specifically assessing (1) fears and perceptions; (2) self-compassion (people with MS) and compassion (caregivers); (3) physical and mental health, and fatigue. Results: Despite better housing conditions, people with MS considered confinement very difficult to handle, more than their caregivers, but they were less afraid of COVID-19 and worsening of MS. Still, they recognized worse health than before confinement. Reclusion and lack of walks were the worst of confinement. Caregivers also referred to lack of leisure and uncertainty–fear. All agreed the best was staying with the family, but some found ‘nothing’ positive. Self-compassion remained moderate–high and strongly correlated with their moderate levels of social function, vitality, physical role, and global health. Physical and cognitive fatigue scores were high, and self-compassion negatively correlated with them, explaining a 19% variance in global health. The high compassion of the caregivers did not correlate with any variable.