Despite advances in the first-line treatment of multiple myeloma, almost all patients eventually relapse, become chemoresistant, and die of the disease. Improved understanding of potential myeloma targets and molecular mechanisms of drug resistance, along with the development and clinical investigation of targeted antitumor agents, have led to new strategies for the treatment of relapsed myeloma. The proteasome inhibitor bortezomib, the immunomodulatory agent thalidomide, and the thalidomide derivative lenalidomide, are all recently approved treatment options for myeloma. Single-agent bortezomib has been shown to provide significantly greater efficacy than high-dose dexamethasone, and bortezomib has also been investigated in combination with other agents commonly used to treat myeloma, including thalidomide and lenalidomide, with high overall and complete response rates. The safety profile of bortezomib has been well characterized, and side effects have been shown to be generally predictable and manageable, including in high-risk and elderly patients and those with renal impairment. Thalidomide has been extensively studied alone and in combination in patients with relapsed myeloma, demonstrating substantial efficacy, and is therefore widely used in this setting. The toxicity profile is dose- and duration-linked, with lower doses appearing to be better tolerated. Lenalidomide plus dexamethasone has been shown to have significantly greater activity than dexamethasone alone in the relapsed setting, with impressive duration of disease control. Other combinations are also under investigation, with promising early results. Some aspects of the toxicity profile appear significantly reduced relative to thalidomide, although myelosuppression is increased. Other novel therapies at earlier stages of development are being studied and may provide further options in the treatment of relapsed myeloma. This review focuses on results from key phase II and III trials of bortezomib, thalidomide, and lenalidomide alone or in combination, and their emerging role in improving outcomes.