Cellular therapy with dendritic cells (DCs) is emerging as a useful immunotherapeutic tool to treat multiple myeloma (MM). DC-based idiotype vaccination was recently suggested to induce idiotype-specific immune responses in MM patients. However, the clinical results so far have been largely disappointing, and the clinical effectiveness of such vaccinations in MM still needs to be demonstrated. DC-based therapies against MM may need to be boosted with other sources of tumor-associated antigens, and potent DCs should be recruited to increase the effectiveness of treatment. DCs with both high migratory capacity and high cytokine production are very important for effective DC-based cancer vaccination in order to induce high numbers of Th1-type CD4+ T cells and CD8+ cytotoxic T lymphocytes. The tumor microenvironment is also important in the regulation of tumor cell growth, proliferation, and the development of therapeutic resistance after treatment. In this review, we discuss how the efficacy of DC vaccination in MM can be improved. In addition, novel treatment strategies that target not only myeloma cells but also the tumor microenvironment are urgently needed to improve treatment outcomes.