We investigated the prognostic impact and clinical utility of serum free light chains (sFLC) and serum heavy-light chains (sHLC) in patients with multiple myeloma treated according to the GEM2005MENOS65, GEM2005MAS65, and GEM2010MAS65 PETHEMA/GEM phase III clinical trials. Serum samples collected at diagnosis were retrospectively analyzed for sFLC (n = 623) and sHLC (n = 183). After induction or autologous transplantation, 309 and 89 samples respectively were available for sFLC and sHLC assays. At diagnosis, a highly abnormal (HA) sFLC ratio (sFLCr) (<0.03 or >32) was not associated with higher risk of progression. After therapy, persistence of involved-sFLC levels >100 mg/L implied worse survival (overall survival OS, P = 0.03; progression-free survival PFS, P = 0.007). Among patients that achieved a complete response, sFLCr normalization did not necessarily indicate a higher quality response. We conducted sHLC investigations for IgG and IgA MM. Absolute sHLC values were correlated with monoclonal protein levels measured with serum protein electrophoresis. At diagnosis, HA-sHLCrs (<0.29 or >73) showed a higher risk of progression (P = 0.006). Additionally, involved-sHLC levels >5 g/L after treatment were associated with shorter survival (OS, P = 0.001; PFS, P = 0.018). The HA-sHLCr could have prognostic value at diagnosis; absolute values of involved-sFLC >100 mg/L and involved-sHLC >5 g/L could have prognostic value after treatment.