Abstract: The classical immune system is divided into innate immunity and acquired immunity. The general view is that immune memory exists only in acquired immunity. However, in organisms lacking adaptive immunity, cells of the innate immune system are able to acquire memory signatures after a brief stimulus, thereby enhancing the response upon a secondary stimulus, a phenomenon known as training immunity. Trained immunity can play a unique anti-tumor role in tumors. In bladder cancer, training immunity induced by BCG vaccine has become the standard treatment for bladder cancer. The efficacy of BCG in the treatment of melanoma has also been recognized in recent years. Improving immune training during therapy through irreversible electroporation (IRE) can prolong survival in patients with pancreatic cancer. Whole β-glucan particle (WGP) can inhibit tumor lung metastasis. In breast cancer, the introduction of drugs through nanoparticles (NPs) can improve the training immune effect of targeted sites. This paper reviews the concepts, mechanisms, and current status of training immunity in the field of oncology therapy.