Multiple Myeloma (MM) is a systemic hematologic disease due to uncontrolled proliferation of monoclonal plasma cells (PC) in bone marrow (BM). Emerging in other solid and liquid cancers, the host immune system and the microenvironment have a pivotal role for PC growth, proliferation, survival, migration, and resistance to drugs and are responsible for some clinical manifestations of MM. In MM, microenvironment is represented by the cellular component of a normal bone marrow together with extracellular matrix proteins, adhesion molecules, cytokines, and growth factors produced by both stromal cells and PC themselves. All these components are able to protect PC from cytotoxic effect of chemo- and radiotherapy. This review is focused on the role of immunome to sustain MM progression, the emerging role of myeloid derived suppressor cells, and their potential clinical implications as novel therapeutic target.