One of the major issues patients with multiple myeloma (MM) suffer from is bone instability and the resulting difficulties that come along with it, such as pain and immobility. Few studies have been performed in this patient group to investigate the effects of physical exercise on outcomes such as muscle strength, quality of life, fatigue, and pain. A PubMed search was conducted by entering the search terms “multiple myeloma” and “exercise,” and “multiple myeloma” and “physical activity” that yielded 178 and 218 manuscripts, respectively. Limiting the search results to clinical trials left 13 and 14 manuscripts, respectively, and 7 studies (1 retrospective chart review, 1 questionnaire study, and 5 prospective clinical trials). The majority of these studies (5) were published in the past decade. The outcomes of several studies of exercise in MM show that physical exercise is feasible for MM patients. Compared with the control groups, the most active participants show better outcomes, such as improvements in their blood counts and in quality-of-life parameters such as fatigue, pain, sleep, and mood. One trial found that MM patients were in much poorer condition than people in a normative standard group. Some of the reported outcomes of exercise in MM have been promising but need to be substantiated in a broader setting with more diverse participants, for a longer duration, and include more endpoints. Due to the disease-inherent risk of bone-related complications, an individualized, supervised training protocol could be a preferable tool.