Leptomeningeal and perivenular infiltrates are important contributors to cortical grey matter damage and disease progression in multiple sclerosis (MS). Whereas perivenular inflammation induces vasculocentric lesions, leptomeningeal involvement follows a subpial “surface-in” gradient. To determine whether similar gradient of damage occurs in deep grey matter nuclei, we examined the dorsomedial thalamic nuclei and cerebrospinal fluid (CSF) samples from 41 postmortem secondary progressive MS cases compared with 5 non-neurological controls and 12 controls with other neurological diseases. CSF/ependyma-oriented gradient of reduction in NeuN+ neuron density was present in MS thalamic lesions compared to controls, greatest (26%) in subventricular locations at the ependyma/CSF boundary and least with increasing distance (12% at 10 mm). Concomitant graded reduction in SMI31+ axon density was observed, greatest (38%) at 2 mm from the ependyma/CSF boundary and least at 10 mm (13%). Conversely, gradient of major histocompatibility complex (MHC)-II+ microglia density increased by over 50% at 2 mm at the ependyma/CSF boundary and only by 15% at 10 mm and this gradient inversely correlated with the neuronal (R = −0.91, p < 0.0001) and axonal (R = −0.79, p < 0.0001) thalamic changes. Observed gradients were also detected in normal-appearing thalamus and were associated with rapid/severe disease progression; presence of leptomeningeal tertiary lymphoid-like structures; large subependymal infiltrates, enriched in CD20+ B cells and occasionally containing CXCL13+ CD35+ follicular dendritic cells; and high CSF protein expression of a complex pattern of soluble inflammatory/neurodegeneration factors, including chitinase-3-like-1, TNFR1, parvalbumin, neurofilament-light-chains and TNF. Substantial “ependymal-in” gradient of pathological cell alterations, accompanied by presence of intrathecal inflammation, compartmentalized either in subependymal lymphoid perivascular infiltrates or in CSF, may play a key role in MS progression.