Immunotherapy has recently emerged as a promising treatment for multiple myeloma (MM). There are now several monoclonal antibodies that target specific surface antigens on myeloma cells or the checkpoints of immune and myeloma cells. Elotuzumab (targeting SLAMF7), daratumumab (targeting CD38), and pembrolizumab (targeting PD-1) have shown clinical activity in clinical studies with relapsed/refractory MM. Dendritic cell vaccination is a safe strategy that has shown some efficacy in a subset of myeloma patients and may become a crucial part of MM treatment when combined with immunomodulatory drugs or immune check-point blockade. Genetically engineered T cells, such as chimeric antigen receptor T cells or T cell receptor-engineered T cells, have also shown encouraging results in recent clinical studies of patients with MM. In this paper, we discuss recent progress in immunotherapy for the treatment of MM.