Trained immunity is a long-term increase in responsiveness of innate immune cells, induced by certain infections and vaccines. During the last 3 years of the COVID-19 pandemic, vaccines that induce trained immunity, such as BCG, MMR, OPV, and others, have been investigated for their capacity to protect against COVID-19. Further, trained immunity-inducing vaccines have been shown to improve B and T cell responsiveness to both mRNA- and adenovirus-based anti-COVID-19 vaccines. Moreover, SARS-CoV-2 infection itself induces inappropriately strong programs of trained immunity in some individuals, which may contribute to the long-term inflammatory sequelae. In this review, we detail these and other aspects of the role of trained immunity in SARS-CoV-2 infection and COVID-19. We also examine the learnings from the trained immunity studies conducted in the context of this pandemic and discuss how they may help us in preparing for future infectious outbreaks.