The term "monoclonal gammopathy" (MG) includes a group of clonal plasma cell disorders, which show heterogeneous clinical behavior. While multiple myeloma (MM) and plasma cell leukemia (PCL) are incurable malignant diseases, most patients with MG of undetermined significance (MGUS) show an indolent/benign clinical course. Evidence has accumulated which supports the role of the bone marrow microenvironment in MG. Accordingly, the survival, drug-resistance and proliferation of MM cells have been shown to be largely dependent on a supportive microenvironment. Among the different environment-associated parameters, those related to the status/activity of the immune system are particularly relevant. This review focuses on the different ways clonal plasma cells (PC) interact with the immune system in different models of MG, to characterize crucial events in the development and progression of MG. These advances may support the design of novel therapeutic approaches in patients with MG.