Over the past decades, immunotherapy has demonstrated a prominent clinical efficacy in a wide variety of human tumors. For many years, apoptosis has been considered a non-immunogenic or tolerogenic process whereas necrosis or necroptosis has long been acknowledged to play a key role in inflammation and immune-related processes. However, the new concept of “immunogenic cell death” (ICD) has challenged this traditional view and has granted apoptosis with immunogenic abilities. This paradigm shift offers clear implications in designing novel anti-cancer therapeutic approaches. To date, several screening studies have been carried out to discover bona fide ICD inducers and reveal the inherent capacity of a wide variety of drugs to induce cell death-associated exposure of danger signals and to bring about in vivo anti-cancer immune responses. Recent shreds of evidence place ER stress at the core of all the scenarios where ICD occur. Furthermore, ER stress and the unfolded protein response (UPR) have emerged as important targets in different human cancers. Notably, in multiple myeloma (MM), a lethal plasma cell disorder, the elevated production of immunoglobulins leaves these cells heavily reliant on the survival arm of the UPR. For that reason, drugs that disrupt ER homeostasis and engage ER stress-associated cell death, such as proteasome inhibitors, which are currently used for the treatment of MM, as well as novel ER stressors are intended to be promising therapeutic agents in MM. This not only holds true for their capacity to induce cell death, but also to their potential ability to activate the immunogenic arm of the ER stress response, with the ensuing exposure of danger signals. We provide here an overview of the up-to-date knowledge regarding the cell death mechanisms involved in situations of ER stress with a special focus on the connections with the drug-induced ER stress pathways that evoke ICD. We will also discuss how this could assist in optimizing and developing better immunotherapeutic approaches, especially in MM treatment.