The impact of disease-modifying therapies (DMTs) on the immune response to coronavirus disease-2019 (COVID-19) vaccines in persons with multiple sclerosis (pwMS) needs further elucidation. We investigated BNT162b2 mRNA COVID-19 vaccine effects concerning antibody seroconversion, inflammatory mediators’ level and immunophenotype assessment in pwMS treated with cladribine (c-pwMS, n = 29), fingolimod (f-pwMS, n = 15) and ocrelizumab (o-pwMS, n = 54). Anti-spike immunoglobulin (Ig)-G detection was performed by an enzyme immunoassay; molecular mediators (GrB, IFN-γ and TNF-α) were quantified using the ELLA platform, and immunophenotype was assessed by flow cytometry. ANCOVA, Student’s t-test and Pearson correlation analyses were applied. Only one o-pwMS showed a mild COVID-19 infection despite most o-pwMS lacking seroconversion and showing lower anti-spike IgG titers than c-pwMS and f-pwMS. No significant difference in cytokine production and lymphocyte count was observed in c-pwMS and f-pwMS. In contrast, in o-pwMS, a significant increase in GrB levels was detected after vaccination. Considering non-seroconverted o-pwMS, a significant increase in GrB serum levels and CD4+ T lymphocyte count was found after vaccination, and a negative correlation was observed between anti-spike IgG production and CD4+ T cells count. Differences in inflammatory mediators’ production after BNT162b2 vaccination in o-pwMS, specifically in those lacking anti-spike IgG, suggest a protective cellular immune response.