Multiple myeloma (MM) is a complex disease which strongly relies on a network of humoral and cellular interactions within the human bone marrow milieu. Although outcomes of anti-MM treatments have improved over the past decade, the disease is still incurable. Translational research for the development of novel therapeutic approaches against MM requires experimental preclinical models able to recapitulate the disease microenvironment. Over the last few years, a variety of murine MM models have been developed. These models have significantly improved our understanding of the disease and led to the development of new therapeutics. We here review the most known models of MM and discuss both advantages and pitfalls.