Multiple myeloma (MM) is a hematological malignancy that remains incurable because most patients eventually relapse or become refractory to current treatments. Although the treatments have improved, the major problem in MM is resistance to therapy. Clonal evolution of MM cells and bone marrow microenvironment changes contribute to drug resistance. Some mechanisms affect both MM cells and microenvironment, including the up- and downregulation of microRNAs and programmed death factor 1 (PD-1)/PD-L1 interaction. Here, we review the pathogenesis of MM cells and bone marrow microenvironment and highlight possible drug resistance mechanisms. We also review a potential molecular targeting treatment and immunotherapy for patients with refractory or relapse MM.