Liquid biopsy is one of the fastest emerging fields in cancer evaluation. Circulating tumour cells and tumour-originated DNA in plasma have become the new targets for their possible employ in tumour diagnosis, and liquid biopsy can define tumour burden without invasive procedures. Multiple Myeloma, one of the most frequent hematologic tumors, has been the target of therapeutic progresses in the last few years. Bone marrow aspirate is the traditional tool for diagnosis, prognosis, and genetic evaluation in multiple myeloma patients. However, this painful procedure presents a relevant drawback for regular disease examination as it requires an invasive practice. Moreover, new data demonstrated that a sole bone marrow aspirate is incapable of expressing the multifaceted multiple myeloma genetic heterogeneity. In this review, we report the emerging usefulness of the assessment of circulating tumour cells, cell-free DNA, extracellular RNA, cell-free proteins, extracellular vesicles, and tumour-educated platelets to evaluate the changing mutational profile of multiple myeloma, as early markers of disease, reliable predictors of prognosis, and as useful tools to perform less invasive monitoring in multiple myeloma.