Multiple myeloma (MM) is an aggressive and incurable disease for most patients, characterized by periods of treatment, remission and relapse. The introduction of new classes of drugs, such as proteasome inhibitors (PIs), has improved survival outcomes in these patient populations. The proteasome is the core of the ubiquitin–proteasome system (UPS), a complex and conserved pathway involved in the control of multiple cellular processes, including cell cycle control, transcription, DNA damage repair, protein quality control and antigen presentation. To date, PIs represent the gold standard for the treatment of MM. Bortezomib was the first PI approved by the FDA, followed by next generation of PIs, namely carfilzomib and ixazomib. Natural agents play an important role in anti-tumor drug discovery, and many of them have recently been reported to inhibit the proteasome, thus representing a new potential source of anti-MM drugs. Based on the pivotal biological role of the proteasome and on PIs’ significance in the management of MM, in this review we aim to briefly summarize recent evidence on natural compounds capable of inhibiting the proteasome, thus triggering anti-MM activity.