Multiple myeloma is characterized by severe immune dysfunction related to the malignant plasma cells and the bone marrow microenvironment. With advances in cancer immunology, the landscape of anti-cancer treatment has been revolutionized over the last several years. Several immunotherapy-based strategies have been investigated in myeloma, some showing significant activity, while others are still being studied in earlier phases of clinical trials. Immunotherapeutic modalities being explored in myeloma can be divided into active immunotherapeutic strategies, such as tumor vaccines and checkpoint inhibitors that stimulate the endogenous immune response, and passive approaches such as monoclonal antibodies and adoptive cellular therapy, where ex vivo-generated antibodies or activated cells target myeloma. In this review, we will summarize various immunotherapy-based strategies being employed in multiple myeloma to date, with a special focus on treatments with proven efficacy and future promise.