Multiple myeloma (MM)is a kind of plasma tumor originated from B cell line. Its incidence ranks in second place of hematopoietic malignancies. Although continued progress was made in treatment of MM,the survival rate and prognosis of MM patients are still not satisfactory. Further understanding of the pathogenesis of MM may provide information to develop new treatment strategies, so as to improve survival rate and ameliorate its prognosis. Many researches have demonstrated that bone marrow microenvironment plays an important role in MM pathogenesis, which regulates the biological properties of MM cells, including migration and proliferation, through miRNA, mRNA and protein contained in the exosomes released from the cells in the tumor microenvironment. Recently, as the tumor suppressor genes and oncogenes, exosomal microRNA become a hot spot in research. Compared with those of the normal ones, exosomes in MM have less miR-15a and/or more miR-135b and miR-21. These differences will accelerate the progression of MM via PI3K/Akt/eNOS/VEGF pathway, FIH-HIF pathway, MAPK/ERK/Ras pathway and so on, that are expected to become the new targets for the treatment of MM. This review summarizes the role and the possible mechanism of exosomes in the progression of MM.