Progressive forms of multiple sclerosis (MS) are associated with chronic demyelination, axonal loss, neurodegeneration, cortical and deep gray matter damage, and atrophy. These changes are strictly associated with compartmentalized sustained inflammation within the brain parenchyma, the leptomeninges, and the cerebrospinal fluid. In progressive MS, molecular mechanisms underlying active demyelination differ from processes that drive neurodegeneration at cortical and subcortical locations. The widespread pattern of neurodegeneration is consistent with mechanisms associated with the inflammatory molecular load of the cerebrospinal fluid. This is at variance with gray matter demyelination that typically occurs at focal subpial sites, in the proximity of ectopic meningeal lymphoid follicles. Accordingly, it is possible that variations in the extent and location of neurodegeneration may be accounted for by individual differences in CSF flow, and by the composition of soluble inflammatory factors and their clearance. In addition, “double hit” damage may occur at sites allowing a bidirectional exchange between interstitial fluid and CSF, such as the Virchow–Robin spaces and the periventricular ependymal barrier. An important aspect of CSF inflammation and deep gray matter damage in MS involves dysfunction of the blood–cerebrospinal fluid barrier and inflammation in the choroid plexus. Here, we provide a comprehensive review on the role of intrathecal inflammation compartmentalized to CNS and non-neural tissues in progressive MS.