Multiple sclerosis (MS) is a chronic inflammatory disease of the central nervous system characterized by demyelination, which leads to the formation of white matter lesions (WMLs) and gray matter lesions (GMLs). Recently, a large amount of transcriptomics or proteomics research works explored MS, but few studies focused on the differences and similarities between GMLs and WMLs in transcriptomics. Furthermore, there are astonishing pathological differences between WMLs and GMLs, for example, there are differences in the type and abundance of infiltrating immune cells between WMLs and GMLs. Here, we used consensus weighted gene co-expression network analysis (WGCNA), single-sample gene set enrichment analysis (ssGSEA), and machine learning methods to identify the transcriptomic differences and similarities of the MS between GMLs and WMLs, and to find the co-expression modules with significant differences or similarities between them. Through weighted co-expression network analysis and ssGSEA analysis, CD56 bright natural killer cell was identified as the key immune infiltration factor in MS, whether in GM or WM. We also found that the co-expression networks between the two groups are quite similar (density = 0.79), and 28 differentially expressed genes (DEGs) are distributed in the midnightblue module, which is most related to CD56 bright natural killer cell in GM. Simultaneously, we also found that there are huge disparities between the modules, such as divergences between darkred module and lightyellow module, and these divergences may be relevant to the functions of the genes in the modules.