Most patients with multiple myeloma (MM) suffer from chronic pain at every stage of the natural disease process. This review focuses on the most common causes of chronic pain in MM patients: (1) pain from myeloma bone disease (MBD); (2) chemotherapy-induced peripheral neuropathy as a possible consequence of proteasome inhibitor therapy (i.e., bortezomib-induced); (3) post-herpetic neuralgia as a possible complication of varicella zoster virus reactivation because of post-transplantation immunodepression; and (4) pain in cancer survivors, with increasing numbers due to the success of antiblastic treatments, which have significantly improved overall survival and quality of life. In this review, non-pain specialists will find an overview including a detailed description of physiopathological mechanisms underlying central sensitization and pain chronification in bone pain, the rationale for the correct use of analgesics and invasive techniques in different pain syndromes, and the most recent recommendations published on these topics. The ultimate target of this review was to underlie that different types of pain can be observed in MM patients, and highlight that only after an accurate pain assessment, clinical examination, and pain classification, can pain be safely and effectively addressed by selecting the right analgesic option for the right patient.