Traditionally, on-line problems have been studied under the assumption that there is a unique sequence of requests that must be served. This approach is common to most general models of on-line computation, such as Metrical Task Systems. However, there exist on-line problems in which the requests are organized in more than one independent thread. In this more general framework, at every moment the first unserved request of each thread is available. Therefore, apart from deciding how to serve a request, at each stage it is necessary to decide which request to serve among several possibilities. In this paper we introduce Multi-threaded Metrical Task Systems, that is, the generalization of Metrical Task Systems to the case in which there are many threads of tasks. We study the problem from a competitive analysis point of view, proving lower and upper bounds on the competitiveness of on-line algorithms. We consider finite and infinite sequences of tasks, as well as deterministic and ran...