Multiple myeloma (MM) is a B-cell malignancy characterized by the abnormal proliferation of clonal plasma cells in the bone marrow leading to end-organ manifestations. Despite the advancement in the therapy and care of patients with MM, relapse and resistance to standard therapy remain significant. The development of immunotherapy as a treatment modality for many types of cancers has led investigators to explore its use in MM in order to elicit myeloma-targeted immune responses, especially given that immune dysregulation is an underlying feature in the pathogenesis and progression of MM. In this concise review, we discuss the different advances in the immune-based therapy of MM, from immunomodulation, vaccines, to monoclonal antibodies, checkpoint inhibitors, adoptive T-cell therapies, and future promising therapies under investigation.