In recent years, the traditional cognition of immunological memory being specific to adaptive immunity has been challenged. Innate immunity can mount enhanced responsiveness upon secondary stimulation, and a phenomenon is termed trained innate immunity. Trained innate immunity is orchestrated by distinct metabolic and epigenetic reprogramming in both circulating myeloid cells and myeloid progenitor cells in bone marrow, leading to long-term resistance to related and non-related pathogens infections. The induction of trained innate immunity can also polarize innate immune cells towards a hyperresponsive phenotype in the tumor microenvironment to exert antitumor effects. This review will discuss the current understanding of innate immune memory and the mechanisms during the induction of innate immunity, including signaling pathways, metabolic changes, and epigenetic rewriting. We also provide an overview of cross-protection against infectious diseases and cancers based on trained innate immunity.