Despite recent advances, Multiple Myeloma (MM) remains an incurable disease with apparent heterogeneity that may explain patients’ variable clinical outcomes. While the phenotypic, (epi)genetic, and molecular characteristics of myeloma cells have been thoroughly examined, there is limited information regarding the role of the bone marrow (BM) microenvironment in the natural history of the disease. In the present study, we performed deep phenotyping of 32 distinct immune cell subsets in a cohort of 94 MM patients to reveal unique immune profiles in both BM and peripheral blood (PB) that characterize distinct prognostic groups, responses to induction treatment, and minimal residual disease (MRD) status. Our data show that PB cells do not reflect the BM microenvironment and that the two sites should be studied independently. Adverse ISS stage and high-risk cytogenetics were correlated with distinct immune profiles; most importantly, BM signatures comprised decreased tumor-associated macrophages (TAMs) and erythroblasts, whereas the unique Treg signatures in PB could discriminate those patients achieving complete remission after VRd induction therapy. Moreover, MRD negative status was correlated with a more experienced CD4- and CD8-mediated immunity phenotype in both BM and PB, thus highlighting a critical role of by-stander cells linked to MRD biology.