Despite the existence of two different branches of immunity, innate and adaptive, it has been described that both systems are characterized by the establishment of memory responses. Indeed, it has been shown that cells belonging to the innate immune system can express a so-called “trained” memory, although it has different features from the adaptive immune memory. Adaptive memory is a long-lasting specific memory whereas innate memory involves non-specific responses which enhance the immune response during a second reinfection. However, many aspects of the trained immunity are still unclear. Metabolic and epigenetic reprogramming have been pointed as the two processes responsible for the establishment of the innate memory. Trained immunity seems to be responsible for the heterologous effect of many vaccines such as BCG, thus giving insights for the development of new therapies. Although its potential beneficial role, trained immunity could also have detrimental effects that might worsen the progress of certain diseases. The purpose of this literature review is to provide an in-depth review on the major characteristics of trained immunity, describing the main pathways at the basis of the evolution and establishment of memory in innate cells. In addition, the present review assesses the modern evidence of the impact of trained immunity in health and disease, strengthening the hypotheses that this innate memory may be considered both in the formulation of new therapeutic strategies and in the current therapeutic approaches.