Multiple myeloma (MM) is a tumor of terminally differentiated B cells that arises in the bone marrow. Immune interactions appear as key determinants of MM progression. While myeloid cells foster myeloma-promoting inflammation, Natural Killer cells and T lymphocytes mediate protective anti-myeloma responses. The profound immune deregulation occurring in MM patients may be involved in the transition from a premalignant to a malignant stage of the disease. In the last decades, the advent of stem cell transplantation and new therapeutic agents including proteasome inhibitors and immunoregulatory drugs has dramatically improved patient outcomes, suggesting potentially key roles for innate and adaptive immunity in disease control. Nevertheless, MM remains largely incurable for the vast majority of patients. A better understanding of the complex interplay between myeloma cells and their immune environment should pave the way for designing better immunotherapies with the potential of very long term disease control. Here, we review the immunological microenvironment in myeloma. We discuss the role of naturally arising anti-myeloma immune responses and their potential corruption in MM patients. Finally, we detail the numerous promising immune-targeting strategies approved or in clinical trials for the treatment of MM.