Allergen‐specific immunotherapy (AIT) has demonstrated its ability to induce desensitization, resulting in reduced allergen‐specific immunoglobulin E (sIgE) accompanied by increased clinical thresholds. However, ensuring safety during therapy, especially with oral immunotherapy, and achieving long‐term tolerance continue to be significant challenges. To address these issues, a concept of nanoencapsulation of allergens has emerged. This paper reviews biodegradable and non‐biodegradable nanoparticles as an allergen‐delivery system, as well as adjuvants for the improvement of the efficacy of AIT. Of all the nanoparticles reviewed, polymethyl methacrylate (PMMA) and chitosan are the most popular nanoparticles for encapsulating macromolecular allergens for oral immunotherapy. Although poly(lactic‐co‐glycolic acid) (PLGA) demonstrates higher stability in the gastrointestinal environment and allergen‐loaded PLGA attenuates the sIgE antibody binding in a murine model, it has inconsistent loading capacity and is difficult to reproduce. Studies on biodistribution, pharmacokinetics, and pharmacodynamics of nanoparticles, however, should be highlighted to ensure the long‐term safety profile of utilizing nanoparticles in immunotherapy. In this regard, encapsulation efficiency and release behavior of allergens from nanoparticles are important components in predicting the safety and efficacy of treatments. The stability, reproducibility, and scalability of encapsulated allergens should also be considered for the translation to clinical applications.