Vaccine design traditionally focuses on inducing adaptive immune responses against a sole target pathogen. Considering that many microbes evade innate immune mechanisms to initiate infection, and in light of the discovery of epigenetically mediated innate immune training, the paradigm of vaccine design has the potential to change. The Bacillus Calmette-Guérin (BCG) vaccine induces some level of protection against Mycobacterium tuberculosis (Mtb) while stimulating trained immunity that correlates with lower mortality and increased protection against unrelated pathogens. This review will explore BCG-induced trained immunity, including the required pathways to establish this phenotype. Additionally, potential methods to improve or expand BCG trained immunity effects through alternative vaccine delivery and formulation methods will be discussed. Finally, advances in new anti-Mtb vaccines, other antimicrobial uses for BCG, and “innate memory-based vaccines” will be examined.