The efficacy and safety of preventive allergen immunotherapy (pAIT) in children are currently under investigation. Here, we provide an overview of pAIT with respiratory allergens concerning the prevention of new sensitizations, allergic disease onset and progression as well as further immunomodulatory effects. Three databases were searched for clinical pAIT studies in children. Selected publications were reviewed for preventive outcomes according to prevention level (primary, secondary, and tertiary), allergen type, administration route, dose, and treatment duration. The primary prevention approach appears safe but showed no allergen‐specific effect on new sensitizations. Secondary prevention seems feasible and may induce regulatory T cell‐mediated immunotolerance. The number of studies at these prevention levels is limited. Tertiary prevention with grass and/or tree pollen‐based pAIT has shown efficacy in preventing disease progression from allergic rhinitis/conjunctivitis to asthma. Data on tertiary pAIT with house dust mites and other allergen types are inconclusive. Subcutaneous and sublingual routes appear similarly effective, but head‐to‐head comparative paediatric studies are scarce. Additionally, there are fewer placebo‐controlled studies. Nevertheless, immunomodulatory outcomes of pAIT are encouraging. Currently, limited but favourably suggestive evidence is available for preventing respiratory allergic diseases in children by pAIT. Primary and secondary prevention have potential and warrant further investigation through well‐designed studies.