An increasing body of evidence shows that the innate immune system has adaptive characteristics that involve a heterologous memory of past insults. Both experimental models and proof-of-principle clinical trials show that innate immune cells, such as monocytes, macrophages, and NK cells, can provide protection against certain infections in vaccination models independently of lymphocytes. This process is regulated through epigenetic reprogramming of innate immune cells and has been termed “trained immunity.” It has been hypothesized that induction of trained immunity is responsible for the protective, nonspecific effects induced by vaccines, such as BCG, measles vaccination, and other whole-microorganism vaccines. In this review, we will present the mechanisms of trained immunity responsible for the long-lasting effects of vaccines on the innate immune system.