AbstractTraditionally, immune memory is regarded as an exclusive hallmark of adaptive immunity. However, a growing body of evidence suggesting that innate immune cells show adaptive characteristics has challenged this dogma. In the past decade, trained immunity, a de facto innate immune memory, has been defined as a long‐term functional reprogramming of cells of the innate immune system: the reprogramming is evoked by endogenous or exogenous insults, the cells return to a nonactivated state and subsequently show altered inflammatory responses against a second challenge. Trained immunity became regarded as a mechanism selected in evolution to protect against infection; however, a maladaptive effect might result in hyperinflammation. This dual effect is consistent with the Yin‐Yang theory in traditional Chinese philosophy, in which Yang represents active, positive, and aggressive factors, whereas Yin represents passive, negative, and inhibitory factors. In this review, we give a brief overview of history and latest progress about trained immunity, including experimental models, inductors, molecular mechanisms, clinical application and so on. Moreover, this is the first time to put forward the theory of Yin‐Yang balance to understand trained immunity. We envision that more efforts will be focused on developing novel immunotherapies targeting trained immunity in the coming years.