Immunotherapy is increasingly used in the treatment of multiple myeloma (MM). Monoclonal antibodies (mAbs) are safe and effective ways to elicit immunotherapeutic responses. In 2015, daratumumab has become the first mAb approved by the Food and Drug Administration for clinical use in MM and, in the last 5 years, a lot of clinical and preclinical research has been done to optimize the use of this drug class. Currently, mAbs have already become part of standard-of-care combinations for the treatment of relapsed/refractory MM and very soon they will also be used in the frontline setting. The success of simple mAbs (‘naked mAbs’) prompted the development of new types of molecules. Antibody–drug conjugates (ADCs) are tumor-targeting mAbs that release a cytotoxic payload into the tumor cells upon antigen binding in order to destroy them. Bispecific antibodies (BiAbs) are mAbs simultaneously targeting a tumor-associated antigen and an immune cell-associated antigen in order to redirect the immune cell cytotoxicity against the tumor cell. These different constructs produced solid preclinical data and promising clinical data in phase I/II trials. The aim of this review article is to summarize all the recent developments in the field, including data on naked mAbs, ADCs and BiAbs.