With the development of immune checkpoint inhibitors in cancer therapy, tumor microenvironments have attracted the attention of many researchers as a critical compartment of immune therapies. Immune suppressive cells such as regulatory T cells, myeloid-derived suppressor cells, and tumor-associated macrophages play important roles in regulating anti-tumor immunity in the bone marrow microenvironment in multiple myeloma, in addition to decreased immunogenicity of tumor cells and increased expression of immune checkpoint molecules. These cells are activated by numerous chemicals released by tumor cells or their surroundings, and they suppress dendritic, tumor-specific cytotoxic T, NK, and NKT cells. Multiple myeloma cells use immunological suppressive effects to escape the patients' immune surveillance system. In the future, we hope a better understanding of these immune suppressive cells leads to further improvements in immune therapies.