Simple Summary Multiple myeloma (MM), the second most common hematological neoplasm, is still considered an incurable disease. Long non-coding RNAs (lncRNAs), genes that do not encode proteins, participate in numerous biological processes, but their deregulation, like that of coding genes, can contribute to carcinogenesis. Increasing evidence points to the relevant role of lncRNAs in the development of human tumors, such that they emerge as attractive biomarkers and therapeutic targets for cancer treatment, including MM. Here we review the oncogenic or tumor-suppressor functions of lncRNAs in MM and provide an overview of novel therapeutic approaches based on lncRNAs that will help to improve the management of these patients. MM is a hematological neoplasm that is still considered an incurable disease. Besides established genetic alterations, recent studies have shown that MM pathogenesis is also characterized by epigenetic aberrations, such as the gain of de novo active chromatin marks in promoter and enhancer regions and extensive DNA hypomethylation of intergenic regions, highlighting the relevance of these non-coding genomic regions. A recent study described how long non-coding RNAs (lncRNAs) correspond to 82% of the MM transcriptome and an increasing number of studies have demonstrated the importance of deregulation of lncRNAs in MM. In this review we focus on the deregulated lncRNAs in MM, including their biological or functional mechanisms, their role as biomarkers to improve the prognosis and monitoring of MM patients, and their participation in drug resistance. Furthermore, we also discuss the evidence supporting the role of lncRNAs as therapeutic targets through different novel RNA-based strategies.