Multiple myeloma (MM) is a clonal B-cell malignancy characterized by the accumulation of neoplastic proliferation of a plasma cell in the bone marrow that produces a monoclonal immunoglobulin. The immune checkpoint inhibitors against programmed death-1/programmed death-1 ligand and cytotoxic T-lymphocyte antigen 4 axis have demonstrated appropriate anticancer activity in several solid tumors and liquid cancers, and are rapidly transforming the practice of medical oncology. However, in a high percentage of patients, the efficacy of immune checkpoints blockade remains limited due to innate or primary resistance. Moreover, the malignancies progress in many patients due to acquired or secondary resistance, even after the clinical response to immune checkpoints' blockade. The evidence shows that multiple tumor-intrinsic and tumor-extrinsic factors and alterations in signaling pathways are involved in primary and secondary resistance to immune checkpoints blockade. Improved identification of intrinsic and extrinsic factors and mechanisms of resistance or response to immune checkpoints blockade may not only provide novel prognostic or predictive biomarkers but also guide the optimal combination/sequencing of immune checkpoint blockade therapy in the clinic. Here, we review the underlying biology and role of immune checkpoints blockade in patients with MM. Furthermore, we review the host and tumor-related factor effects on immune checkpoints blockade in MM immunotherapy.