"I hate to say it, but this was the most disappointing of all" the bank earnings, Cramer said on "Squawk Box." "I had thought, and perhaps thought incorrectly, that Morgan Stanley had a mosaic of businesses that would not allow it to go down."
Shares of Morgan Stanley were down more than 6 percent midmorning Thursday after the company reported quarterly profit and revenue below Wall Street's expectations. Its two biggest businesses, Wall Street trading and advisory and wealth management, suffered revenue declines amid a difficult market environment last year.
Cramer, whose charitable trust owns shares of Citigroup, Goldman Sachs and J.P. Morgan Chase, had credited the stock market's recent move off its lows to the big banks after a sell-off in the fourth quarter of 2018. Bank of America, Goldman Sachs, Wells Fargo and Citigroup this week released quarterly earnings that topped expectations.
The "Mad Money" host said investors are starting to realize that banks are "making more money than ever, and they're doing so with less risk and fewer employees as technology has replaced tons of white-collar jobs."
While Morgan Stanley is "inexpensive," Cramer said, it's also now a "show-me" stock after reporting earnings.
On Wednesday, Cramer contended that Bank of America posted the strongest earnings numbers of the big banks. He called BofA a "growth stock" while comparing it with e-commerce giant Amazon.
— CNBC's Hugh Son and Elizabeth Gurdus contributed to this report.