Despite significant improvements in the overall survival of patients with multiple myeloma (MM) over the past 15 years, the disease remains incurable. Treatment options are limited for patients who have relapsed or are refractory to immunomodulatory drugs (IMiDs), proteasome inhibitors, and monoclonal antibodies. In these patients, immunotherapies such as checkpoint inhibitors, oncolytic vaccines, and chimeric antigen receptor (CAR) T cells provide a potentially effective alternative treatment. While checkpoint inhibitors are effective in prolonging overall survival in some patients with advanced solid cancers and Hodgkin lymphoma, they have not demonstrated significant anti-myeloma activities as a single agent in MM. In fact the combination of checkpoint inhibitors with IMiDs was recently found to increase the risk of death in myeloma patients. These challenges highlight the need for a better understanding of immune dysregulation in myeloma patients, and the mechanisms of action of- and resistance to- checkpoint inhibitors. In this review, we summarize immune dysfunction in patients with MM, and review the preclinical and clinical data regarding checkpoint inhibitors in myeloma. We conclude by proposing strategies to improve the efficacy and safety of checkpoint inhibitors in this population.