The course of multiple myeloma (MM) is influenced by a variety of factors, including the specificity of the tumour microenvironment (TME). The aim of this review is to provide insight into the interplay of treatment modalities used in the current clinical practice and TME. Bortezomib-based triplets are the standard for MM first-line treatment. Bortezomib is a proteasome inhibitor (PI) which inhibits the nuclear factor kappa B (NF-κB) pathway. However, bortezomib is decreasing the expression of chemokine receptor CXCR4 as well, possibly leading to the escape of extramedullary disease. Immunomodulatory drugs (IMiDs), lenalidomide, and pomalidomide downregulate regulatory T cells (Tregs). Daratumumab, anti-cluster of differentiation 38 (anti-CD38) monoclonal antibody (MoAb), downregulates Tregs CD38+. Bisphosphonates inhibit osteoclasts and angiogenesis. Sustained suppression of bone resorption characterises the activity of MoAb denosumab. The plerixafor, used in the process of stem cell mobilisation and harvesting, block the interaction of chemokine receptors CXCR4-CXCL12, leading to disruption of MM cells’ interaction with the TME, and mobilisation into the circulation. The introduction of several T-cell-based immunotherapeutic modalities, such as chimeric-antigen-receptor-transduced T cells (CAR T cells) and bispecific antibodies, represents a new perspective in MM treatment affecting TME immune evasion. The optimal treatment approach to MM patients should be adjusted to all aspects of the individual profile including the TME niche.