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Bone disease is the hallmark of multiple myeloma (MM), a hematological malignancy characterized by osteolytic lesions due to a severe uncoupled and unbalanced bone remodeling with pronounced osteoblast suppression. Bone metastasis is also a frequent complication of solid tumors including advanced breast or prostate cancer. In the past years, the ubiquitin–proteasome pathway has been proved critical in regulating the balance between bone formation and bone resorption. Proteasome inhibitors (PIs) are a new class of drugs, currently used in the treatment of MM, that affect both tumor cells and bone microenvironment. Particularly, PIs stimulate osteoblast differentiation by human mesenchymal stromal cells and increase bone regeneration in mice. Interestingly, in vitro data indicate that PIs block MM-induced osteoblast and osteocyte cell death by targeting both apoptosis and autophagy. The preclinical data are supported by the following effects observed in MM patients treated with PIs: increase of bone alkaline phosphatase levels, normalization of the markers of bone turnover, and reduction of the skeletal-related events. Moreover, the histomorphometric data indicate that the treatment with bortezomib stimulates osteoblast formation and maintains osteocyte viability in MM patients. This review updates the evidence on the effects of PIs on bone remodeling and on cancer-induced bone disease while focusing on MM bone disease.