Several prognostic gene signatures have been developed to predict the clinical outcome in patients with multiple myeloma (MM). The most salient disadvantage of the previous signatures is their non‐reproducibility in external datasets. Given the disadvantages and the superiority of RNA sequencing over microarrays in transcriptome profiling to produce more reliable outputs, we sought to develop a reproducible RNA sequencing‐based prognostic gene signature for MM. Genes significantly associated with survival were detected in The Cancer Genome Atlas (TCGA) MM RNA sequencing dataset (MMRF‐CoMMpass) (n = 412) through a strict pipeline containing four rigid filters. The reproducibility of the selected genes was checked in an independent dataset (GSE24080), containing 559 newly diagnosed patients with MM. The RNA sequencing‐based prognostic signature was reconstructed based on the final genes in the training dataset (MMRF‐CoMMpass) and externally validated in five independent datasets (i.e. GSE2658, GSE13624, GSE9782, GSE6477 and GSE57317), containing 1461 MM cases. The RNA sequencing‐based signature was reconstructed using finally five reproducible genes: CCT2, CKS1B, PRKDC, NONO and UBE2A. This signature was able to robustly discriminate between low‐ and high‐risk patients in both training and validation datasets (Ps ≤ 0·001). Our signature was also independent of and more powerful than the routine MM prognostic factors (i.e. β2‐microglobulin, albumin, age and sex) (Ps ≤ 0·01). Treatment regimens had no effect on RNA sequencing‐based signature insofar as this signature succeeded in predicting the clinical outcome in various treatment groups (Ps ≤ 0·001).