Fingolimod and natalizumab are approved disease-modifying drugs in relapsing–remitting multiple sclerosis (RRMS). The two drugs have different modes of action and may therefore influence different aspects of MS-related tissue damage. In this retrospective cohort study, we longitudinally compared patients treated with fingolimod and patients treated with natalizumab by measures based on structural magnetic resonance imaging (MRI). We included patients with RRMS given that two standardized MRI scans under the same drug were available with an interval of at least 6 months both from therapy start to baseline scan and from baseline scan to follow-up scan. After matching for age, baseline and follow-up scans from 93 patients (fingolimod, 48; natalizumab, 45) were investigated. Mean follow-up time was 1.9 years. We determined the number of new white matter lesions as well as thalamic, cortical, and whole-brain atrophy. After scaling for time of the interscan interval, measures were analyzed by group comparisons and, to account for demographic and clinical characteristics, by multiple regression models and a binary logistic regression model. Compared to natalizumab, fingolimod treatment went along with more new white matter lesions (median [interquartile range, IQR] 0.0 [0.0; 0.7] vs. 0.0 [0.0; 0.0] /year; p < 0.01) whereas whole-brain atrophy was lower (median [IQR] 0.2 [0.0; 0.5] vs. 0.5 [0.2; 1.0] %/year; p = 0.01). These significant differences were confirmed by multiple regression models and the binary logistic regression model. In conclusion, our observation is compatible with stronger neuroprotective properties of fingolimod compared to natalizumab.