Background and Objectives: Fingolimod, a sphingosine-1-phosphate receptor modulator, is an effective disease-modifying therapy for relapsing forms of multiple sclerosis (MS). Although lymphopenia is a well-recognized pharmacological effect, its clinical significance remains uncertain. This study evaluated the frequency and severity of fingolimod-associated lymphopenia, longitudinal hematological changes and their relationship with clinical outcomes in a real-world MS cohort. Materials and Methods: This retrospective observational study included 143 adults with MS who initiated fingolimod treatment between May 2019 and October 2020. Demographic, clinical and laboratory data were collected at baseline and at 3- and 6-month follow-up visits. Lymphopenia was graded according to the Common Terminology Criteria for Adverse Events version 4.0. Laboratory parameters and infection outcomes were compared according to lymphopenia severity. Logistic regression analysis was performed to identify factors associated with Grade 4 lymphopenia at 6 months. Results: At 6 months, lymphopenia was present in 124 patients (86.7%), including Grade 4 lymphopenia in 15 (10.5%). Leukocyte, neutrophil and lymphocyte counts decreased, whereas ALT, AST, GGT, NLR and SII increased significantly during treatment (all p < 0.001). Infection frequency did not differ among lymphopenia severity groups (p = 0.530). No statistically significant association was detected between Grade 3–4 lymphopenia and infection risk (OR, 1.41; 95% CI, 0.42–4.71; p = 0.545). Lower baseline lymphocyte count was independently associated with Grade 4 lymphopenia (adjusted OR 0.078, 95% CI 0.018–0.325; p < 0.001). Conclusions: Fingolimod-associated lymphopenia was common, with Grade 4 lymphopenia affecting approximately one-tenth of patients. No statistically significant association between lymphopenia severity and infection was detected; however, the small number of Grade 4 cases, low event rate and wide confidence interval limited the statistical power to exclude clinically meaningful differences. These findings should therefore be interpreted cautiously and do not establish the absence of infection risk associated with severe lymphopenia. Regular hematological monitoring and individualized clinical decision-making remain essential, particularly in patients with lower baseline lymphocyte counts.