Provided are a motion guide device and a screw device each having a cover for protecting the device against moisture, such as coolant, and powder dust. The motion guide device has a raceway member 11, a moving member main body 21 mounted on the raceway member 11 through a plurality of rolling elements and cap members 22 attached to respective end surfaces of the moving member main body 21 in a relative moving direction. A seal cover 50 is provided having a cover main body 51 that covers each of the cap members 22 and a seal section 55 that is provided between the cover main body 51 and a cap member-side end surface of the moving member main body 21 to stop a gap between the cap member-side end surface of the moving member main body 21 and the cover main body 51. This structure makes it possible to reliably prevent any foreign material, such as powder dust or swarf, and moisture, such as coolant, from getting into the inside of the moving member 20.