Cognitive impairment (CI), often examined with neuropsychological tests such as the Paced Auditory Serial Addition Test (PASAT), affects approximately 65% of multiple sclerosis (MS) patients. The P3b event-related potential (ERP), evoked when an infrequent target stimulus is presented, indexes cognitive function and is typically compared across subjects’ scalp electroencephalography (EEG) data. However, the clustering of independent components (ICs) is superior to scalp-based EEG methods because it can accommodate the spatiotemporal overlap inherent in scalp EEG data. Event-related spectral perturbations (ERSPs; event-related mean power spectral changes) and inter-trial coherence (ITCs; event-related consistency of spectral phase) reveal a more comprehensive overview of EEG activity. Ninety-five subjects (56 MS patients, 39 controls) completed visual and auditory two-stimulus P3b event-related potential tasks and the PASAT. MS patients were also divided into CI and non-CI groups (n = 18 in each) based on PASAT scores. Data were recorded from 128-scalp EEG channels and 4 IC clusters in the visual, and 5 IC clusters in the auditory, modality were identified. In general, MS patients had significantly reduced ERSP theta power versus controls, and a similar pattern was observed for CI vs. non-CI MS patients. The ITC measures were also significantly different in the theta band for some clusters. The finding that MS patients had reduced P3b task-related theta power in both modalities is a reflection of compromised connectivity, likely due to demyelination, that may have disrupted early processes essential to P3b generation, such as orientating and signal detection. However, for posterior sources, MS patients had a greater decrease in alpha power, normally associated with enhanced cognitive function, which may reflect a compensatory mechanism in response to the compromised early cognitive processing.