Remarkable successes with the FDA-approved proteasome inhibitors bortezomib (Velcade(®)) and carfilzomib (Kyprolis(®)) have proved that the proteasome is an effective target for the treatment of multiple myeloma. In other hematological malignancies, however, clinical trials of proteasome-targeting drugs have shown generally disappointing results to date. Additionally, existing proteasome inhibitors have significant issues with toxicity, poor response rate, and the emergence of resistance for many patients. A new generation of small-molecule therapies specifically targeting the immunoproteasome may have the potential to overcome the drawbacks of bortezomib and carfilzomib in multiple myeloma and to bring significant benefits of proteasome inhibitor therapies to many more patients. In this article, we describe the potential of the immunoproteasome as a therapeutic target for hematological malignancies and the recent progress in the development of useful immunoproteasome inhibitors.