Multiple myeloma (referred to henceforth as myeloma) is a B-cell malignancy characterized by unregulated growth of plasma cells in the bone marrow. The treatment paradigm for myeloma underwent significant evolution in the last decade, with an improved understanding of the pathogenesis of the disease as well as the development of therapeutic agents that target not only the tumor cells but also their microenvironment. Despite these therapeutic advances, the prognosis of patients with relapsed or refractory myeloma remains poor. Accordingly, a need exists for new therapeutic avenues that can overcome resistance to current therapies and improve survival outcomes. In addition, myeloma is associated with progressive immune dysregulation, with defects in T-cell immunity, natural killer cell function, and the antigen-presenting capacity of dendritic cells, resulting in a tumor microenvironment that promotes disease tolerance and progression. Together, the immunosuppressive microenvironment and oncogenic mutations activate signaling networks that promote myeloma cell survival. Immunotherapy incorporates novel treatment options (e.g., monoclonal antibodies, antibody-drug conjugates, chimeric antigen receptor T-cell therapy, immune checkpoint inhibitors, bispecific antibodies, and tumor vaccines) either alone or in combination with existing lines of therapies (e.g., immunomodulatory agents, proteasome inhibitors, and histone deacetylase inhibitors) to enhance the host anti myeloma immunity within the bone marrow microenvironment and improve clinical response. Following the U.S. Food and Drug Administration approval of daratumumab and elotuzumab in 2015, more immunotherapeutic agents are expected to be become available as valuable treatment options in the near future. This review provides a basic understanding of the role of immunotherapy in modulating the bone marrow tumor microenvironment and its role in the treatment of myeloma. Clinical efficacy and safety of recently approved therapeutic monoclonal antibodies (daratumumab, elotuzumab) are discussed, along with the therapeutic potential of emerging immunotherapies (antibody-drug conjugates, chimeric antigen receptor T-cell therapy, tumor vaccines, and immune checkpoint inhibitors).