Immune dysregulation and alteration of the bone marrow microenvironment allowing plasma cells to escape immune surveillance are well-known factors associated with the proliferation of clonal plasma cells and development of multiple myeloma (MM). Whilst immunotherapeutic approaches are now commonplace in a wide spectrum of malignancies, this aberration of myeloma development gives rise to the biological rationale for the use of immune checkpoint inhibitors (ICIs) in MM. However, the initial experience with these agents has been challenging with limited single agent efficacy, significant toxicity, and side effects. Herein, we review the biological and immunological aspects of MM and ICIs. We discuss the basic biology of immune checkpoint inhibitors, mechanisms of resistance, and drug failure patterns, review the published clinical trial data for ICIs in MM, and look towards the future of ICIs for MM treatment.