There is overwhelming epidemiologic evidence that the risk of multiple myeloma (MM) has a solid genetic background. Genome-wide association studies (GWAS) have identified 23 risk loci that contribute to the genetic susceptibility of MM, but have low individual penetrance. Combining the SNPs in a polygenic risk score (PRS) is a possible approach to improve their usefulness. Using 2361 MM cases and 1415 controls from the International Multiple Myeloma rESEarch (IMMEnSE) consortium, we computed a weighted and an unweighted PRS. We observed associations with MM risk with OR = 3.44, 95% CI 2.53–4.69, p = 3.55 × 10⁻¹⁵ for the highest vs. lowest quintile of the weighted score, and OR = 3.18, 95% CI 2.1 = 34–4.33, p = 1.62 × 10⁻¹³ for the highest vs. lowest quintile of the unweighted score. We found a convincing association of a PRS generated with 23 SNPs and risk of MM. Our work provides additional validation of previously discovered MM risk variants and of their combination into a PRS, which is a first step towards the use of genetics for risk stratification in the general population.