This descriptive, cross‐sectional analysis evaluated the impact of baseline characteristics on health‐related quality of life (HR‐QoL) at different stages of multiple myeloma (MM). The bortezomib clinical‐trial programme evaluated HR‐QoL early and consistently, producing a large multi‐study dataset. Baseline data, captured using the European Organization for Research and Treatment of Cancer (EORTC) quality‐of‐life questionnaire (QLQ‐C30), were pooled from six bortezomib randomized trials conducted in different disease‐stage categories: ‘New’ (previously untreated; n = 753), ‘Early’ (1–3 prior therapies; n = 1569) and ‘Late’ (≥4 prior therapies; n = 239) disease. Mean EORTC global health scores were similar across the three stages. Unexpectedly, emotional, physical and role functioning were higher in the later stages, indicating better perceived health. Symptom scores, including pain, were largely similar or lower in the later versus earlier stages, signifying a lower symptom burden/better symptom control with more advanced disease. Notable variation in HR‐QoL was observed by age and clinical parameters within and across stages. Multivariate modelling indicated that opioid use and performance status were key factors driving overall HR‐QoL across stages. Using an age‐restricted analysis, transplant eligibility had little impact on HR‐QoL in New disease patients. Thus, changes in HR‐QoL over the treatment course of MM are complex and impacted by baseline factors. A prospective observational international inception cohort study that captures key clinical, HR‐QoL and demographic characteristics, along with safety and supportive care information, is needed.