Visual grounding is essential for precise perception and reasoning in multimodal large language models (MLLMs), especially in medical imaging domains. While existing medical visual grounding benchmarks primarily focus on single-image scenarios, real-world clinical applications often involve sequential images, where accurate lesion localization across different modalities and temporal tracking of disease progression (e.g., pre- vs. post-treatment comparison) require fine-grained cross-image semantic alignment and context-aware reasoning. To remedy the underrepresentation of image sequences in existing medical visual grounding benchmarks, we propose MedSG-Bench, the first benchmark tailored for Medical Image Sequences Grounding. It comprises eight VQA-style tasks, formulated into two paradigms of the grounding tasks, including 1) Image Difference Grounding, which focuses on detecting change regions across images, and 2) Image Consistency Grounding, which emphasizes detection of consistent or shared semantics across sequential images. MedSG-Bench covers 76 public datasets, 10 medical imaging modalities, and a wide spectrum of anatomical structures and diseases, totaling 9,630 question-answer pairs. We benchmark both general-purpose MLLMs (e.g., Qwen2.5-VL) and medical-domain specialized MLLMs (e.g., HuatuoGPT-vision), observing that even the advanced models exhibit substantial limitations in medical sequential grounding tasks. To advance this field, we construct MedSG-188K, a large-scale instruction-tuning dataset tailored for sequential visual grounding, and further develop MedSeq-Grounder, an MLLM designed to facilitate future research on fine-grained understanding across medical sequential images. The benchmark, dataset, and model are available at https://huggingface.co/MedSG-Bench