New oral drugs have considerably enriched the therapeutic armamentarium for the treatment of multiple sclerosis. This review focuses on the molecular pharmacodynamics of fingolimod, dimethyl fumarate (BG-12), laquinimod, and teriflunomide. We specifically comment on the action of these drugs at three levels: 1) the regulation of the immune system; 2) the permeability of the blood–brain barrier; and 3) the central nervous system. Fingolimod phosphate (the active metabolite of fingolimod) has a unique mechanism of action and represents the first ligand of G-protein-coupled receptors (sphingosine-1-phosphate receptors) active in the treatment of multiple sclerosis. Dimethyl fumarate activates the nuclear factor (erythroid-derived 2)-related factor 2 pathway of cell defense as a result of an initial depletion of reduced glutathione. We discuss how this mechanism lies on the border between cell protection and toxicity. Laquinimod has multiple (but less defined) mechanisms of action, which make the drug slightly more effective on disability progression than on annualized relapse rate in clinical studies. Teriflunomide acts as a specific inhibitor of the de novo pyrimidine biosynthesis. We also discuss new unexpected mechanisms of these drugs, such as the induction of brain-derived neurotrophic factor by fingolimod and the possibility that laquinimod and teriflunomide regulate the kynurenine pathway of tryptophan metabolism.