As vast strides are being made in the management and treatment of multiple myeloma (MM), recent interests are increasingly focusing on understanding the development of the disease. The knowledge that MM develops exclusively from a protracted phase of monoclonal gammopathy of undetermined significance provides an opportunity to study tumor evolution in this process. Although the immune system has been implicated in the development of MM, the scientific literature on the role and status of various immune components in this process is broad and sometimes contradictory. Accordingly, we present a review of cellular immune subsets in myelomagenesis. We summarize the current literature on the quantitative and functional profiles of natural killer cells and T-cells, including conventional T-cells, natural killer T-cells, γδ T-cells and regulatory T-cells, in myelomagenesis. Our goal is to provide an overview of the status and function of these immune cells in both the peripheral blood and the bone marrow during myelomagenesis. This provides a better understanding of the nature of the immune system in tumor evolution, the knowledge of which is especially significant considering that immunotherapies are increasingly being explored in the treatment of both MM and its precursor conditions.