Deep vein thrombosis and its lethal complication pulmonary embolism are manifestations of venous thromboembolism (VTE), which is typically associated with cancer and recent major surgery. Certain solid tumors and hematologic malignancies impose an inherently elevated risk of VTE that is compounded by chemotherapy and other risk factors. Multiple myeloma (MM) and other plasma cell dyscrasias are thrombogenic as a consequence of their multiple hemostatic effects, including elevated interleukin-6 levels, pro-coagulant antibody formation, paraprotein interference with fibrin structure, activated protein C resistance, and endothelial damage. The oral immunomodulatory drugs thalidomide and lenalidomide have produced major therapeutic responses in patients with MM when used in combination with oral steroids and chemotherapy, but a high incidence of VTE has been reported. Various VTE prophylaxis strategies with thalidomide- and lenalidomide-containing combinations have been investigated in clinical studies. This review discusses emerging results on the use of VTE prophylaxis to minimize VTE risks associated with MM treatment regimens containing thalidomide and lenalidomide.