Pharmacogenetic (PG) studies aim to discover the individual genetic background that underlies the heterogeneity of treatment response, and thus find biomarkers for identification of individual patients who will benefit the most from the therapy administered or urgently require the alternate drug. Over the last decade, PG studies have made progress in terms of multiple sclerosis (MS), which is one of the most severe neurodegenerative diseases of the central nervous system. With the understanding of the role of the immune system in the pathogenesis of MS, a number of immunomodulatory drugs were developed for MS treatment management. However, clinical response to these disease-modifying therapies varies in individual patients. Interferon-β and glatiramer acetate showed the most reliable long-term safety and remain among the first-line disease-modifying therapies for MS worldwide. Here, we will review the results of interferon-β and glatiramer acetate PG studies with a detailed analysis of study design and approaches, their advantages and limitations, and future perspectives.