Multiple myeloma (MM) is a genetically heterogeneous disease that includes a subgroup of 10–15% of patients facing dismal survival despite the most intensive treatment. Despite improvements in biological knowledge, MM is still an incurable neoplasia, and therapeutic options able to overcome the relapsing/refractory behavior represent an unmet clinical need. The aim of this review is to provide an integrated clinical and biological overview of high-risk MM, discussing novel therapeutic perspectives, targeting the neoplastic clone and its microenvironment. The dissection of the molecular determinants of the aggressive phenotypes and drug-resistance can foster a better tailored clinical management of the high-risk profile and therapy-refractoriness. Among the current clinical difficulties in MM, patients’ management by manipulating the tumor niche represents a major challenge. The angiogenesis and the stromal infiltrate constitute pivotal mechanisms of a mutual collaboration between MM and the non-tumoral counterpart. Immuno-modulatory and anti-angiogenic therapy hold great efficacy, but variable and unpredictable responses in high-risk MM. The comprehensive understanding of the genetic heterogeneity and MM high-risk ecosystem enforce a systematic bench-to-bedside approach. Here, we provide a broad outlook of novel druggable targets. We also summarize the existing multi-omics-based risk profiling tools, in order to better select candidates for dual immune/vasculogenesis targeting.