Tumor immune microenvironmental alterations occur early in multiple myeloma (MM) development. In this study, we aim to systematically characterize the tumor immune microenvironment (TME) and the tumor-immune interactions from precursor stages, i.e., monoclonal gammopathy of undetermined significance (MGUS) and smoldering MM (SMM), to newly diagnosed MM, comparing these to healthy donors. Using CIBERSORT, mass cytometry (CyTOF), and single-cell RNA sequencing (scRNA-Seq), we examined innate and adaptive immune changes across these stages. We found a decrease in granulocytes in the TME predicts MM outcomes. HLA-DR is reduced in CD16+ monocytes and plasmacytoid dendritic cells, while myeloid dendritic cells show decreased expression of stress and immune-response genes. NK cells and CD8+ T cells shift from a GZMK+ to a GZMB+ cytotoxic phenotype in the TME, with increased inhibitory markers TIM3 and TIGIT. In paired samples, the proportion and gene expression pattern in patient-specific GZMB+CD8+ T cells remain largely unchanged despite MM progression. Our findings provide a comprehensive immune landscape of MM and its precursors, offering insights into therapeutic strategies. Enhancing neutrophil and NK cell cytotoxicity, tumor antigen presentation, and CD8+ T cell versatility in precursor stages may prevent MM progression.