Multiple myeloma (MM), an incurable hematologic malignancy of plasma cells increasing in the bone marrow (BM), has a complex microenvironment made to support proliferation, survival, and drug resistance of tumor cells. MicroRNAs (miRNAs), short non‐coding RNAs regulating genes expression at posttranscriptional level, have been indicated to be functionally deregulated or abnormally expressed in MM cells. Moreover, by means of miRNAs, tumor microenvironment also modulates the function of MM cells. Consistently, it has been demonstrated that miRNA levels regulation impairs their interaction with the microenvironment of BM as well as create considerable antitumor feature even capable of overcoming the protective BM milieu. Communication between cancer stromal cells and cancer cells is a key factor in tumor progression. Finding out this interaction is important to develop effective approaches that reverse bone diseases. Exosomes, nano‐vehicles having crucial roles in cell‐to‐cell communication, through targeting their cargos (i.e., miRNAs, mRNAs, DNAs, and proteins), are implicated in MM pathogenesis.