Epidemiological observations have shown that vaccines can influence morbidity and mortality more than can be ascribed to target-disease immunity. A growing number of immunological studies have helped identify possible biological mechanisms to explain these so-called nonspecific effects (NSE) of vaccines, including heterologous T-cell reactivity and innate immune memory or 'trained innate immunity', which involves epigenetic reprogramming of innate immune cells. Here, we review the epidemiological evidence for NSE as well as human, animal and in vitro immunological data that could explain these NSE, and discuss priorities for future epidemiologic and immunologic studies to further unravel the biology and optimize the benefits of current and new vaccines.