Multiple myeloma (MM) remains an incurable hematological malignancy disease characterized by the progressive dysfunction of the patient's immune system. In this context, immunotherapy for MM has emerged as a prominent area of research in recent years. Various targeted immunotherapy strategies, such as monoclonal antibodies, antibody-drug conjugates, bispecific antibodies, chimeric antigen receptor T cells/natural killer (NK) cells, and checkpoint inhibitors have been developed for MM. This review aims to discuss promising experimental and clinical evidence as well as the mechanisms of action underlying these immunotherapies. Specifically, we will explore the design of exosome-based bispecific monoclonal antibodies that offer cell-free immunotherapy options. The treatment landscape for myeloma continues to evolve with the development of numerous emerging immunotherapies. Given their significant advantages in modulating the MM immune environment through immune-targeted therapy, these approaches provide novel perspectives in selecting cutting-edge treatments for MM.