With the growing body of evidence, it is now clear that not only adaptive immune cells but also innate immune cells can mount a more rapid and potent nonspecific immune response to subsequent exposures. This process is known as trained immunity or innate (learned) immune memory. This review discusses the different immune and nonimmune cell types of the central and peripheral immune systems that can develop trained immunity. This review highlights the intracellular signaling and metabolic and epigenetic mechanisms underlying the formation of innate immune memory. Finally, this review explores the health implications together with the potential therapeutic interventions harnessing trained immunity.