Multiple myeloma (MM) is an exceptionally complicated and heterogeneous disease that is caused by the abnormal proliferation of malignant monoclonal plasma cells initiated in the bone marrow. In disease progression, a multistep process including differentiation, proliferation, and invasion is involved. Despite great improvement in treatment outcomes in recent years due to the substantial discovery of novel therapeutic drugs, MM is still regarded as an incurable disease. Patients with MM are afflicted by confronting remission periods accompanied by relapse or progression outcomes, which inevitably progress to the refractory stage. In this regard, MM may need new medications or modifications in therapeutic strategies to overcome resistance. A variety of genetic abnormalities (e.g., point mutations, translocations, and deletions) and epigenetic changes (e.g., DNA methylation, histone modification, and non-coding RNA) contribute to the pathogenesis and development of MM. Here, we review the significant roles of epigenetic mechanisms in the development and progression of MM. We also highlight epigenetic pathways as potential novel treatment avenues for MM, including their interplay, use of epigenetic inhibitors, and major involvement in immuno-oncology.