Allosteric regulation refers to the process where the effect of binding of a ligand at one site of a protein is transmitted to another, often distant, functional site. In recent years, it has been demonstrated that allosteric mechanisms can be understood by the conformational ensembles of a protein. Molecular dynamics (MD) simulations are often used for the study of protein allostery as they provide an atomistic view of the dynamics of a protein. However, given the wealth of detailed information hidden in MD data, one has to apply a method that allows extraction of the conformational ensembles underlying allosteric regulation from these data. Markov state models are one of the most promising methods for this purpose. We provide a short introduction to the theory of Markov state models and review their application to various examples of protein allostery studied by MD simulations. We also include a discussion of studies where Markov modelling has been employed to analyse experimental data on allosteric regulation. We conclude our review by advertising the wider application of Markov state models to elucidate allosteric mechanisms, especially since in recent years it has become straightforward to construct such models thanks to software programs like PyEMMA and MSMBuilder. This article is part of a discussion meeting issue ‘Allostery and molecular machines’.