Multiple myeloma (MM) remains an incurable hematological malignancy characterized by clonal proliferation of malignant plasma cells in bone marrow. In the last 20 years, the introduction of autologous stem cell transplantation, followed by proteasome inhibitors and immunomodulatory agents, increased the survival of MM patients by 50%. However, still a high proportion of patients relapse and become refractory, especially, high-risk patients with adverse cytogenetics where these treatment combinations have shown limited benefit. Therefore, novel strategies, such as immunotherapy, have been developed in the last few years to help improve the survival of these patients. Immunotherapy treatments include a high number of different strategies used to attack the tumor cells by using the immune system. Here, we will review the most successful immunotherapy strategies published up to date in patients with relapsed or refractory (R/R) MM, including monoclonal antibodies targeting specific antigens on the tumor cells, antibodies combined with cytotoxic drugs or Antibodies Drug Conjugates, immune checkpoint inhibitors which eliminate the barriers that damper immune cells and prevent them from attacking tumor cells, bi-specific T-cell engagers antibodies (BiTEs), bi-specific antibodies and the infusion of chimeric antigen receptor-modified T cells. We overview the results of clinical studies that have been presented up to date and also review pre-clinical studies describing potential novel treatments for MM.