COVID‐19 is a severe health problem in many countries and has altered day‐to‐day life in the whole world. This infection is caused by the SARS‐CoV‐2 virus, and depending on age, sex and health status of the patient, it can present with variety of clinical symptoms such as mild infection, a very severe form or even asymptomatic course of the disease. Similarly to other viruses, innate immune response plays a vital role in protection against COVID‐19. However, dysregulation of innate immunity could have a significant influence on the severity of the disease. Despite various efforts, there is no effective vaccine against the disease so far. Recent data have demonstrated that the Bacillus Calmette–Guérin (BCG) vaccine could reduce disease severity and the burden of several infectious diseases in addition to targeting its primary focus tuberculosis. There is growing evidence for the concept of beneficial non‐specific boosting of immune responses by BCG or other microbial compounds termed trained immunity, which may protect against COVID‐19. In this manuscript, we review data on how the development of innate immune memory due to microbial compounds specifically BCG can result in protection against SARS‐CoV‐2 infection. We also discuss possible mechanisms, challenges and perspectives of using innate immunity as an approach to reduce COVID‐19 severity.