Trained immunity has emerged as a new concept in immunology that is associated with the memory of innate immune cells and linked to specific metabolic and epigenetic reprogramming of these cells. Trained immunity may confer nonspecific and sustained protection against a broad range of pathogens, and recent findings show that it might also be involved in allergy mechanisms. Some conventional vaccines have demonstrated trained immunity induction as the mechanism underlying their heterologous protection. The development of novel vaccines designed especially for this purpose (trained immunity-based vaccines) might be useful in the absence of conventional vaccines or in specific clinical settings. Under certain circumstances, trained immunity could lead to persistent inflammatory innate immune cell responses in subjects with allergy, which could be associated with the development and worsening of allergy by promoting and amplifying aberrant type 2 immune responses. In other cases, trained immunity may help promote healthy immune responses to allergens, such as type 1 responses that counterbalance the type 2 inflammation or regulatory T cells that induce tolerance. Trained immunity-based allergen vaccines could become the next generation of allergen-specific immunotherapy vaccines, harnessing the potential of trained immunity to induce allergen tolerance. The identification and characterization of proper training inducers might well pave the way for the development of novel immunotherapies.