The majority of foods that we eat are subjected to some type of processing either at home or by the manufacturer. The biochemical reactions that occur in foods as a result of thermal processing can be both beneficial and harmful. Here, we briefly review the effects of thermal processing and some of the effects of the Maillard reaction on the allergenicity of food proteins. Specifically, we focus on the known effects of roasting on the allergenic properties of peanut proteins and the contribution of Maillard reaction products or advanced glycation end products to these observed effects. The most thorough understanding of the effects of thermal processing on allergenicity involves the peanut proteins. Thermal processing alters specific biophysical and immunological properties of peanut proteins, such as structure, function, solubility, digestibility, immunoglobulin E (IgE) binding, and T-cell responses. A better understanding of the effects of thermal processing-induced biochemical and immunological alterations is of utmost importance for proper risk assessment of existing and newly introduced proteins in the food source, as well as development of effective diagnostic tools and therapeutic treatments for food allergy.