The main purpose of the study is to understand the safety and tolerability of cemsidomide when given along with elranatamab in subjects with relapsed or refractory multiple myeloma. The first part of the study will evaluate different dose levels of cemsidomide in combination with elranatamab in a limited number of subjects. Approximately 3 different dose levels of cemsidomide in combination with elranatamab may be explored. Once a dose level is determined safe, additional subjects may be enrolled through expansion of the dose level. This expansion will provide further exploration of the safety and evaluation of preliminary antimyeloma activity. Cemsidomide will be taken orally each cycle for 14 days on/14 days off (1 cycle=28 days). Elranatamab will be administered by subcutaneous injection twice a month. Dexamethasone will be administered weekly until a confirmed response but no longer than 4 cycles.