Pain is a prominent feature of multiple myeloma (MM) and may be caused by different underlying causes and mechanisms. Indeed, pain may be due to disease-related complications, iatrogenic causes or may be associated with other unrelated medical conditions. This symptom may be particularly devastating and can negatively affect the quality of life of the afflicted patients and their functional status. For most MM patients suffering from continuous nociceptive pain, the WHO's three-step analgesic ladder can provide adequate relief with oral options, although the high prevalence in MM patients of difficult-to-treat pains, such as pains due to skeletal mechanical instability or sustained by neuropathic mechanisms, makes the treatment approach a challenging concern. The management of pain in this setting requires a multidisciplinary approach integrating analgesics and causal interventions. This review focuses on the most common syndromes afflicting MM patients, attempting to provide an understanding of the underlying pain mechanisms and a discussion of the most commonly used treatment strategies.