Multiple myeloma is a life-threatening haematological malignancy for which standard therapy is inadequate. Autologous stem cell transplantation results in effective cytoreduction, but patients subsequently relapse from sites of chemotherapy-resistant disease. Allogeneic transplantation may result in durable responses due to anti-tumour immunity mediated by donor lymphocytes. However, morbidity and mortality related to graft-vs-host disease remains a challenge. A promising area of investigation is the development of immunotherapeutic approaches that target and eliminate myeloma cells more selectively. A variety of tumour-associated antigens have been identified in myeloma cells that may be targeted selectively by host immunity. Vaccination strategies targeting single antigens and whole-cell approaches, which have the advantage of presenting patient-specific and potentially unidentified antigens to immune effector cells, have shown promise in clinical studies. In addition, the use of monoclonal antibodies has been evaluated in preclinical and clinical studies. Effector cell dysfunction and the increased number of regulatory T cells in patients with malignancy may limit the efficacy of immunotherapeutic approaches. Strategies to improve upon immunotherapy for multiple myeloma involve the depletion of T regulatory cells, combining active and passive immunotherapy, the use of cytokine adjuvants, and using immunotherapy in conjunction with autologous and allogeneic transplantation.