Multiple myeloma (MM) is the second most prevalent hematological malignancy. In spite of the remarkable progress in understanding the biology and therapy of MM, curing this disease remains difficult, which calls for more effective treatment strategies. As vital communicators between different cells, exosomes have been verified to be crucial to cancer diagnosis, treatment, and prognosis. Exosomes in MM patients show a different expression profile compared with those in healthy individuals. In this review, we summarize potential therapy roles exosomes may play in MM. The specific expression of certain components in exosomes may provide therapeutic targets. Moreover, tumor-derived exosomes and their modified products can be developed into vaccines for anti-tumor immunity. In addition, the natural nano structure of exosomes makes them excellent carriers for drug delivery. Thus, a more rigorous investigation into exosomes will pave the way for novel tumor therapies in MM patients.