The bone marrow (BM) is the site of disease in myeloma and possesses unique immune characteristics involved in the pathobiology of the disease. Interactions of plasma cells with stromal cells, osteoclasts, osteoblasts, myeloid and lymphoid cells make up the unique bone marrow milieu that mediates myeloma disease progression. Independently or through a complex network of interactions these cells impart immune changes leading to immune evasion and disease progression. The critical role of these factors in disease progression has led to the intense development of therapeutic strategies aimed at either disrupting the immune mechanisms mediating disease progression or augmenting those with anti-tumor benefits. This review discusses the major contributors of immunity in the bone marrow microenvironment, their interactions, and mechanisms whereby immune modulation can be translated into therapies with anti-myeloma efficacy.