Pyroptosis is an important factor affecting the proliferation, invasion, and metastasis of tumor cells. However, in multiple myeloma (MM), there are few studies on whether the occurrence of pyroptosis is related to the occurrence and prognosis of the disease. Based on the Gene Expression Omnibus and Cancer Genome Atlas database search dataset, this study identified pyroptosis-related genes with a specific prognosis, constructed and verified the prediction model by stepwise Cox regression analysis and time receiver operating characteristic curve analysis, and predicted specific functions by single-sample gene set enrichment analysis and the Kyoto Encyclopedia of Genes and Genomes. Dataset analysis identified key genes, which were used to construct a risk scoring system for the prognosis of MM. The entire test set and external verification set verified the results. The expression levels of related genes in the clinical samples were detected using fluorescence quantitative PCR. A prognostic gene model based on six pyroptosis-related genes (CYCS, NLRP9, AIM2, NOD2, CHMP3, and GSDME) was constructed. The model has an excellent prognostic ability and can be popularized in the external validation set. The predictive prognostic nomogram integrating clinical information can effectively evaluate the risk score of each patient and predict their survival. After sample validation, our study found three potential key pyroptosis-related genes in multiple myeloma. GSDME, NOD2, and CHMP3 were significantly different between MM and healthy subjects, suggesting that they are pyroptosis-related protective genes. This study shows that the key pyroptosis-related gene in the model can be used as a marker for predicting the prognosis of myeloma, which may provide a basis for clinical individualized stratification therapy.