Background/Objectives: Patients with multiple myeloma (MM) who relapse after exposure to lenalidomide in the context of their first-line therapy are becoming a growing and clinically relevant population. We performed a systematic review of available clinical trials evaluating the efficacy and safety of different therapeutic strategies for the treatment of patients with MM at first relapse after the frontline use of lenalidomide. Methods: Publications of interest were searched on the PubMed database. The following search terms were employed: relapsed multiple myeloma, refractory multiple myeloma, first relapse, second-line therapy, lenalidomide-refractory (Len-R) and lenalidomide-exposed (Len-Exp). Results: Overall, triplet regimens that included anti-CD38 antibodies, carfilzomib and dexamethasone achieved a more favorable PFS regardless of the number of prior therapies. Other trials also demonstrated a non-negligible benefit with combinations containing pomalidomide, particularly in early lines of therapy. However, the variable number of patients with Len-Exp/Len-R disease enrolled in these studies and the limited number of those analyzed after progression following frontline lenalidomide make it difficult to select an “optimal” choice for the treatment of patients with MM at first relapse. Promising results have been more recently obtained by using combo therapies, including belantamab mafodotin and, above all, immunotherapies with CAR-T cells, and ongoing clinical trials are exploring the role of bispecific antibodies and CELMoDs in this population of patients. Conclusions: In the absence of clear-cut data regarding the specific effects of available regimens on patients with MM who are refractory or have relapsed after first-line therapies including lenalidomide, novel approaches based on different types of immune strategies are expected to further improve the clinical outcome of these patients.