Multiple myeloma (MM) survival rates have been substantially increased thanks to novel agents that have improved survival outcomes and shown better tolerability than treatments of earlier years. These new agents include immunomodulating imide drugs (IMiD) thalidomide and lenalidomide, the proteasome inhibitor bortezomib (PI), recently followed by new generation IMID pomalidomide, monoclonal antibodies daratumumab and elotuzumab, and next generation PI carfilzomib and ixazomib. However, even in this more promising scenario, febrile neutropenia remains a severe side effect of antineoplastic therapies and can lead to a delay and/or dose reduction in subsequent cycles. Supportive care has thus become key in helping patients to obtain the maximum benefit from novel agents. Filgrastim is a human recombinant subcutaneous preparation of G-CSF, largely adopted in hematological supportive care as “on demand” (or secondary) prophylaxis to recovery from neutropenia and its infectious consequences during anti-myeloma treatment. On the contrary, pegfilgrastim is a pegylated long-acting recombinant form of granulocyte colony-stimulating factor (G-CSF) that, given its extended half-life, can be particularly useful when adopted as “primary prophylaxis,” therefore before the onset of neutropenia, along chemotherapy treatment in multiple myeloma patients. There is no direct comparison between the two G-CSF delivery modalities. In this review, we compare data on the two administrations’ modality, highlighting the efficacy of the secondary prophylaxis over multiple myeloma treatment. Advantage of pegfilgrastim could be as follows: the fixed administration rather than multiple injections, reduction in neutropenia and febrile neutropenia rates, and, finally, a cost-effectiveness advantage.