Multiple myeloma (MM) is the second-most common hematologic malignancy and remains incurable despite potent plasma cell directed therapeutics. The tumor microenvironment (TME) is a key player in the pathogenesis and progression of MM and is an active focus of research with a view to targeting immune dysregulation. Tumor-associated macrophages (TAM), myeloid derived suppressor cells (MDSC), and dendritic cells (DC) are known to drive progression and treatment resistance in many cancers. They have also been shown to promote MM progression and immune suppression in vitro, and there is growing evidence of their impact on clinical outcomes. The heterogeneity and functional characteristics of myelomonocytic cells in MM are being unraveled through high-dimensional immune profiling techniques. We are also beginning to understand how they may affect and be modulated by current and future MM therapeutics. In this review, we provide an overview of the biology and clinical relevance of TAMs, MDSCs, and DCs in the MM TME. We also highlight key areas to be addressed in future research as well as our perspectives on how the myelomonocytic compartment of the TME may influence therapeutic strategies of the future.