Multiple myeloma (MM) is a dyscrasia of plasma cells (PCs) characterized by abnormal immunoglobulin (Ig) production. The disease remains incurable due to a multitude of mutations and structural abnormalities in MM cells, coupled with a favorable microenvironment and immune suppression that eventually contribute to the development of drug resistance. The bone marrow microenvironment (BMME) is composed of a cellular component comprising stromal cells, endothelial cells, osteoclasts, osteoblasts, and immune cells, and a non-cellular component made of the extracellular matrix (ECM) and the liquid milieu, which contains cytokines, growth factors, and chemokines. The bone marrow stromal cells (BMSCs) are involved in the adhesion of MM cells, promote the growth, proliferation, invasion, and drug resistance of MM cells, and are also crucial in angiogenesis and the formation of lytic bone lesions. Classical immunophenotyping in combination with advanced immune profiling using single-cell sequencing technologies has enabled immune cell-specific gene expression analysis in MM to further elucidate the roles of specific immune cell fractions from peripheral blood and bone marrow (BM) in myelomagenesis and progression, immune evasion and exhaustion mechanisms, and development of drug resistance and relapse. The review describes the role of BMME components in MM development and ongoing clinical trials using immunotherapeutic approaches.