Cognitive impairment is common and debilitating among persons with multiple sclerosis (MS) and might be managed with exercise training. The present pilot study adopted a single-blind randomized controlled trial (RCT) design and is the first to examine the effect of a systematically developed, progressive treadmill walking exercise training intervention on cognition among fully ambulatory persons with MS. Ten fully ambulatory females with MS were randomly assigned into exercise training intervention or waitlist control conditions. The intervention condition involved 12 weeks of supervised, progressive chronic treadmill walking exercise training. Participants underwent measures of cognition (i.e., cognitive processing speed (CPS), executive function), walking performance, and cardiorespiratory fitness before and after the 12-week period; baseline and follow-up assessments were performed by blinded assessors. Overall, there were large intervention effects on CPS (d = 0.95), walking performance (d = 0.76), and cardiorespiratory fitness (d > 1.08). The change in cardiorespiratory fitness was significantly associated with change in CPS (r = .60), but not walking performance. This small pilot RCT provides preliminary proof-of-concept data supporting progressive treadmill walking exercise training for potentially improving CPS, walking performance, and cardiorespiratory fitness in fully ambulatory persons with MS, and that improved fitness might be a possible mechanism for improved CPS.