The evolutionary history of multiple myeloma (MM) includes malignant transformation, followed by progression to pre-malignant stages and overt malignancy, ultimately leading to more aggressive and resistant forms. Over the past decade, large effort has been made to identify the potential therapeutic targets in MM. However, MM remains largely incurable. Most patients experience multiple relapses and inevitably become refractory to treatment. Tumor-initiating cell populations are the postulated population, leading to the recurrent relapses in many hematological malignancies. Clonal evolution of tumor cells in MM has been identified along with the disease progression. As a consequence of different responses to the treatment of heterogeneous MM cell clones, the more aggressive populations survive and evolve. In addition, the tumor microenvironment is a complex ecosystem which plays multifaceted roles in supporting tumor cell evolution. Emerging multi-omics research at single-cell resolution permits an integrative and comprehensive profiling of the tumor cells and microenvironment, deepening the understanding of biological features of MM. In this review, we intend to discuss the novel insights into tumor cell initiation, clonal evolution, drug resistance, and tumor microenvironment in MM, as revealed by emerging multi-omics investigations. These data suggest a promising strategy to unravel the pivotal mechanisms of MM progression and enable the improvement in treatment, both holistically and precisely.