The treatment landscape of multiple myeloma (MM) has evolved considerably with the FDA-approval of at least 15 drugs over the past two decades. Together with the use of autologous stem cell transplantation, these novel therapies have resulted in significant survival benefit for patients with MM. In particular, our improved understanding of the BM and immune microenvironment has led to the development of highly effective immunotherapies that have demonstrated unprecedented response rates even in the multiple refractory disease setting. However, MM remains challenging to treat especially in a high-risk setting. A key mediator of therapeutic resistance in MM is the bone marrow (BM) microenvironment; a deeper understanding is necessary to facilitate the development of therapies that target MM in the context of the BM milieu to elicit deeper and more durable responses with the ultimate goal of long-term control or a cure of MM. In this review, we discuss our current understanding of the role the BM microenvironment plays in MM pathogenesis, with a focus on its immunosuppressive nature. We also review FDA-approved immunotherapies currently in clinical use and highlight promising immunotherapeutic approaches on the horizon.