The mechanisms underlying innate immune memory have been extensively explored in the last decades but are in fact largely unknown. Although the specificity of adaptive immune memory in vertebrates is ensured through the recombination of immunoglobulin family genes and clonal expansion, the basic mechanisms of innate immune cells’ nonspecific increased responsiveness rely on epigenetic, transcriptional, and metabolic programs after transient stimulation. Changes in these programs result in enhanced responsiveness to secondary challenges with a wide variety of stimuli. This phenomenon is termed “trained immunity” or “innate immune memory.” On one hand, trained immunity improves the response to infections and vaccination, facilitating stronger innate immune responses and enhanced protection against a variety of microbial stimuli. Conversely, trained immunity may contribute to the pathophysiology of cardiovascular, autoinflammatory, and neurodegenerative diseases. In this review, we gather the current body of knowledge in this field and summarize the foundations and mechanisms of trained immunity, the different cell types involved, its consequences for health and disease, and the potential of its modulation as a therapeutic tool.