I don't know about Rebif, but MS sure can cause Anxiety and Depression. I acquired the anxiety first, which lead to depression.
My Neuro/Psych said it was a direct cause of MS. Buspar then Paxil saved my life and now on Prozac. Don't take Prozac first though... not good for Anxiety..
I hope it's not the Rebif, if it's helping you otherwise.