Multiple myeloma (MM) is a hematological malignancy that remains incurable because most patients will eventually relapse or become refractory to the treatments. Although the treatments have improved, the major problem in MM is the resistance to therapy. Novel agents are currently in development for the treatment of relapsed/refractory MM, including immunomodulatory drugs, proteasome inhibitors, monoclonal antibodies, cell signaling targeted therapies, and strategies targeting the tumor microenvironment. We have previously reviewed in detail the contemporary immunomodulatory drugs, proteasome inhibitors, and monoclonal antibodies therapies for MM. Therefore, in this review, we focused on the role of molecular targeted therapies in the treatment of relapsed/refractory multiple myeloma, including cell signaling targeted therapies (HDAC, PI3K/AKT/mTOR, p38 MAPK, Hsp90, Wnt, Notch, Hedgehog, and cell cycle) and strategies targeting the tumor microenvironment (hypoxia, angiogenesis, integrins, CD44, CXCR4, and selectins). Although these novel agents have improved the therapeutic outcomes for MM patients, further development of new therapeutic agents is warranted.