Despite rapid advances in treatment approaches of multiple myeloma (MM) over the last two decades via proteasome inhibitors (PIs), immunomodulatory drugs (IMiDs), and monoclonal antibodies (mAbs), their efficacies are limited. MM still remains incurable, and the majority of patients shortly relapse and eventually become refractory to existing therapies due to the genetic heterogeneity and clonal evolution. Therefore, the development of novel therapeutic strategies with different mechanisms of action represents an unmet need to achieve a deep and highly durable response as well as to improve patient outcomes. The antibody-drug conjugate (ADC), belanatmab mafadotin, which targets B cell membrane antigen (BCMA) on plasma cells, was approved for the treatment of MM in 2020. To date, numerous immunotherapies, including bispecific antibodies, such as bispecific T cell engager (BiTE), the duobody adoptive cellular therapy using a dendritic cell (DC) vaccine, autologous chimeric antigen (CAR)-T cells, allogeneic CAR-natural killer (NK) cells, and checkpoint inhibitors have been developed for the treatment of MM, and a variety of clinical trials are currently underway or are expected to be planned. In the future, the efficacy of combination approaches, as well as allogenic CAR-T or NK cell therapy, will be examined, and promising results may alter the treatment paradigm of MM. This is a comprehensive review with an update on the most recent clinical and preclinical advances with a focus on results from clinical trials in progress with BCMA-targeted immunotherapies and the development of other novel targets in MM. Future perspectives will also be discussed.