Several anti-cancer drugs are known to have immunomodulatory effects, including immunogenic cell death (ICD) of cancer cells. ICD is a form of apoptosis which is caused by the release of damage-associated molecular patterns (DAMPs), the uptake of cancer antigens by dendritic cells, and the activation of acquired immunity against cancer cells. ICD was originally reported in solid tumors, and there have been few reports on ICD in multiple myeloma (MM). Here, we showed that proteasome inhibitors, including carfilzomib, induce ICD in myeloma cells via an unfolded protein response pathway distinct from that in solid tumors. Additionally, we demonstrated the potential impact of ICD on the survival of patients with myeloma. ICD induced by proteasome inhibitors is expected to improve the prognosis of MM patients not only by its cytotoxic effects, but also by building strong immune memory response against MM cells in combination with other therapies, such as chimeric antigen receptor—T cell therapy.