Therapeutic strategies for multiple myeloma have dramatically changed in the last two decades, especially after the introduction of proteasome inhibitors. The first-in-class proteasome inhibitor, bortezomib, was approved by the US Food and Drug Administration in 2003. Since then, it has been a backbone therapy for not only relapsed or refractory myeloma patients but also newly diagnosed multiple myeloma patients. Second-generation proteasome inhibitors, such as carfilzomib and ixazomib, have been approved, and three proteasome inhibitors were incorporated into several regimens with other cytotoxic agents, such as alkylating agents, immunomodulatory drugs and monoclonal antibodies. Because each proteasome inhibitor shows different properties with respect to adverse events, understanding and managing each adverse event of proteasome inhibitors are necessary for the continuation of therapy with minimal interruption of treatment. This review summarizes the recent advances in proteasome inhibitors used in the treatment of multiple myeloma.