The exact role of regulatory T cells (Tregs) in multiple myeloma (MM) has not been yet determined. Data regarding alterations of Tregs during therapy with novel agents (NA), i.e., bortezomib and lenalidomide are conflicted and limited. We evaluated prospectively alterations of Tregs and searched for correlations with disease characteristics, response, and outcome in 29 patients with active MM treated with either bortezomib-dexamethasone (BD; 11 patients) or lenalidomide-dexamethasone (LenDex, 18 patients). Additionally, we recorded changes of lymphocytes subsets and cytokines related to Tregs function and MM biology, i.e., interleukin (IL) 6, 2, 17, and TGF-β. Compared with controls, patients had significantly higher median levels of Tregs%, IL-6, and IL-17 (p < 0.001). Median CD4 T and B cells frequencies were significantly lower, whereas CD8 T and natural killers were increased compared to controls. In BD group, no significant alterations of Tregs% were observed. Patients treated with LenDex, displayed a significant reduction of Tregs% (p < 0.001) especially those who achieved at least very good partial response (≥vgPR) (p = 0.04). Lymphocyte subsets or cytokines did not significantly change during therapy. In summary, Tregs% are higher in patients with active MM compared with controls, and they significantly decrease after treatment with LenDex but not with BD; After therapy with LenDex, Tregs reduction between baseline and major response correlated with achievement of ≥vgPR suggesting a possible predictive role, that may contribute to therapeutic strategy.