At least 200 single-nucleotide polymorphisms (SNPs) are associated with multiple sclerosis (MS) risk. A key function that could mediate SNP-encoded MS risk is their regulatory effects on gene expression. We performed microarrays using RNA extracted from purified immune cell types from 73 untreated MS cases and 97 healthy controls and then performed Cis expression quantitative trait loci mapping studies using additive linear models. We describe MS risk expression quantitative trait loci associations for 129 distinct genes. By extending these models to include an interaction term between genotype and phenotype, we identify MS risk SNPs with opposing effects on gene expression in cases compared with controls, namely, rs2256814 MYT1 in CD4 cells (q = 0.05) and rs12087340 RF00136 in monocyte cells (q = 0.04). The rs703842 SNP was also associated with a differential effect size on the expression of the METTL21B gene in CD8 cells of MS cases relative to controls (q = 0.03). Our study provides a detailed map of MS risk loci that function by regulating gene expression in cell types relevant to MS.