Cockroach sensitization is an important risk factor for the development of asthma. However, its underlying immune mechanisms and the genetic etiology for differences in allergic responses remain unclear. Cockroach allergens identification and their expression as biologically active recombinant proteins have provided a basis for studying the mechanisms regarding cockroach allergen‐induced allergic sensitization and asthma. Glycans in allergens may play a crucial role in the immunogenicity of allergic diseases. Protease‐activated receptor (PAR)‐2, Toll‐like receptor (TLR), and C‐type lectin receptors have been suggested to be important for the penetration of cockroach allergens through epithelial cells to mediate allergen uptake, dendritic cell maturation, antigen‐presenting cell (APC) function in T‐cell polarization, and cytokine production. Environmental pollutants, which often coexist with the allergen, could synergistically elicit allergic inflammation, and aryl hydrocarbon receptor (AhR) activation and signaling may serve as a link between these two elements. Genetic factors may also play an important role in conferring the susceptibility to cockroach sensitization. Several genes have been associated with cockroach sensitization and asthma‐related phenotypes. In this review, we will discuss the epidemiological evidence for cockroach allergen‐induced asthma, cockroach allergens, the mechanisms regarding cockroach allergen‐induced innate immune responses, and the genetic basis for cockroach sensitization.