Allergen immunotherapy (AIT) is widely used to establish a tolerant immune response and it is currently the only disease modifying treatment. There are different routes to administer the allergen, including subcutaneous, sublingual, intralymphatic, epicutaneous, intradermal, and oral and local nasal allergen immunotherapy. Although the optimal administration route depends on the type of allergen, some patients remain unresponsive and so it is important to predict the outcome before and during treatment. Therefore, there is a need to identify candidate prognostic markers for allergen immunotherapy. Herein, we discuss the recent literature on the molecular mechanisms of AIT.