Multiple myeloma (MM) is characterized by clonal expansion of malignant plasma cells in the bone marrow (BM). Despite the significant advances in treatment, MM is still a fatal malignancy. This is mainly due to the supportive role of the BM microenvironment in differentiation, migration, proliferation, survival, and drug resistance of the malignant plasma cells. The BM microenvironment is composed of a cellular compartment (stromal cells, osteoblasts, osteoclasts, endothelial cells, and immune cells) and a non‐cellular compartment. In this review, we discuss the interaction between the malignant plasma cell and the BM microenvironment and the strategy to target them.