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Simple Summary: Multiple myeloma is a haematological malignancy due to a proliferation of clonal plasma cells. The medullary milieu consists of a bone marrow microenvironment comprising an assortment of cells and structures supporting blood cell production in the bone marrow. Epigenetic alterations can modify the interplay between multiple myeloma cells and the bone marrow niche. The continuous bidirectional relationship between bone marrow microenvironment cells and neoplastic plasma cells can be altered, profoundly modifying the natural history of myeloma. Our review focuses on the role of epigenetic mechanisms in the development and growth of multiple myeloma. It discusses the crosstalk between the tumour microenvironment's epigenetic mechanisms, the progression of multiple myeloma, and the onset of multiple myeloma complications, such as bone disease. In multiple myeloma, cells of the bone marrow microenvironment have a relevant responsibility in promoting the growth, survival, and drug resistance of multiple myeloma plasma cells. In addition to the well-recognized role of genetic lesions, microenvironmental cells also present deregulated epigenetic systems. However, the effect of epigenetic changes in reshaping the tumour microenvironment is still not well identified. An assortment of epigenetic regulators, comprising histone methyltransferases, histone acetyltransferases, and lysine demethylases, are altered in bone marrow microenvironmental cells in multiple myeloma subjects participating in disease progression and prognosis. Aberrant epigenetics affect numerous processes correlated with the tumour microenvironment, such as angiogenesis, bone homeostasis, and extracellular matrix remodelling. This review focuses on the interplay between epigenetic alterations of the tumour milieu and neoplastic cells, trying to decipher the crosstalk between these cells. We also evaluate the possibility of intervening specifically in modified signalling or counterbalancing epigenetic mechanisms. [ABSTRACT FROM AUTHOR]