The performance of orthogonal frequency-division multiplexing (OFDM) system with multiple-symbol differential detection (MSDD) is analyzed over both time- and frequency-selective Rayleigh fading channels. The optimal decision metrics of time-domain MSDD (TD-MSDD) and frequency-domain MSDD (FD-MSDD) are derived by calculating the exact covariance matrix under the assumption that the guard time is longer than the delay spread, thus causing no effective intersymbol interference (ISI). Since the complexity of calculating the exact covariance matrix turns out to be substantial for FD-MSDD, we also develop a suboptimal metric based on the simplified covariance matrix. The comparative analysis between TD-MSDD and FD-MSDD suggests that the most significant improvement is achieved by the FD-MSDD with the optimal metric and a large symbol observation interval, since the time selectiveness of the channel has a dominant effect on the bit error rate of the OFDM system.