Multiple myeloma (MM) is a heterogeneous plasma cell malignancy differing substantially in clinical behavior, prognosis, and response to treatment. With the advent of novel therapies, many patients achieve long-lasting remissions, but some experience aggressive and treatment refractory relapses. So far, MM is considered incurable. Myeloma pathogenesis can broadly be explained by two interacting mechanisms, intraclonal evolution of cancer cells and development of an immunosuppressive tumor microenvironment. Failures in isotype class switching and somatic hypermutations result in the neoplastic transformation typical of MM and other B cell malignancies. Interestingly, although genetic alterations occur and evolve over time, they are also present in premalignant stages, which never progress to MM, suggesting that genetic mutations are necessary but not sufficient for myeloma transformation. Changes in composition and function of the immune cells are associated with loss of effective immune surveillance, which might represent another mechanism driving malignant transformation. During the last decade, the traditional view on myeloma treatment has changed dramatically. It is increasingly evident that treatment strategies solely based on targeting intrinsic properties of myeloma cells are insufficient. Lately, approaches that redirect the cells of the otherwise suppressed immune system to take control over myeloma have emerged. Evidence of utility of this principle was initially established by the observation of the graft-versus-myeloma effect in allogeneic stem cell-transplanted patients. A variety of new strategies to harness both innate and antigen-specific immunity against MM have recently been developed and intensively tested in clinical trials. This review aims to give readers a basic understanding of how the immune system can be engaged to treat MM, to summarize the main immunotherapeutic modalities, their current role in clinical care, and future prospects.