<p>Recent therapeutic advances, including immunomodulatory drugs, proteasome inhibitors, monoclonal antibodies, bispecific antibodies, and chimeric antigen receptor–T-cell therapies, have transformed the treatment landscape of multiple myeloma (MM). Beyond direct cytotoxicity, these agents profoundly reshape the bone marrow immune microenvironment, which plays a decisive role in disease initiation, progression, and therapeutic response. MM cells thrive within this specialized niche by recruiting and reprogramming regulatory T cells, myeloid-derived suppressor cells, dendritic cells, and macrophages to suppress antitumor immunity while simultaneously driving functional exhaustion of effector T cells and impairing natural killer cell cytotoxicity. Accumulating evidence demonstrates that these immune alterations emerge even at precursor stages, such as monoclonal gammopathy of undetermined significance and smoldering MM, progressively intensifying disease evolution. In this review, we synthesize recent insights into immune cell dynamics during MM progression, highlighting both regulatory and effector compartments. We further discuss how contemporary therapies modulate these immune interactions, underscoring their dual roles in fostering immune activation while, at times, sustaining immunosuppressive pathways. A comprehensive understanding of the immune landscape in MM will be critical to optimizing existing treatments, overcoming therapeutic resistance, and guiding the development of next-generation immunotherapies.</p>