Multiple myeloma (MM) is a plasma cell (PC) malignancy whose development flourishes in the bone marrow microenvironment (BMME). The BMME components’ immunoediting may foster MM progression by favoring initial immunotolerance and subsequent tumor cell escape from immune surveillance. In this dynamic process, immune effector cells are silenced and become progressively anergic, thus contributing to explaining the mechanisms of drug resistance in unresponsive and relapsed MM patients. Besides traditional treatments, several new strategies seek to re-establish the immunological balance in the BMME, especially in already-treated MM patients, by targeting key components of the immunoediting process. Immune checkpoints, such as CXCR4, T cell immunoreceptor with immunoglobulin and ITIM domains (TIGIT), PD-1, and CTLA-4, have been identified as common immunotolerance steps for immunotherapy. B-cell maturation antigen (BCMA), expressed on MMPCs, is a target for CAR-T cell therapy, antibody-(Ab) drug conjugates (ADCs), and bispecific mAbs. Approved anti-CD38 (daratumumab, isatuximab), anti-VLA4 (natalizumab), and anti-SLAMF7 (elotuzumab) mAbs interfere with immunoediting pathways. New experimental drugs currently being evaluated (CD137 blockers, MSC-derived microvesicle blockers, CSF-1/CSF-1R system blockers, and Th17/IL-17/IL-17R blockers) or already approved (denosumab and bisphosphonates) may help slow down immune escape and disease progression. Thus, the identification of deregulated mechanisms may identify novel immunotherapeutic approaches to improve MM patients’ outcomes.