Intravesical BCG instillation is the gold-standard adjuvant immunotherapy for patients with high-risk non-muscle-invasive bladder cancer. However, the precise mechanism of action by which BCG asserts its beneficial effects is still unclear. BCG has been shown to induce a non-specific enhancement of the biological function in cells of the innate immune system, creating a de facto heterologous immunological memory that has been termed trained immunity. Trained immunity or innate immune memory enables innate immune cells to mount a more robust response to secondary non-related stimuli after being initially primed (or trained) by a challenge such as BCG. BCG-induced trained immunity is characterized by the metabolic rewiring of monocyte intracellular metabolism and epigenetic modifications, which subsequently lead to functional reprogramming effects, such as an increased production of cytokines, on restimulation. Results from BCG vaccination studies in humans show that trained immunity might at least partly account for the heterologous beneficial effects of BCG vaccination. Additionally, immunity might have a role in the effect of BCG immunotherapy for bladder cancer. Based on these indications, we propose that trained immunity could be one of the important mechanisms mediating BCG immunotherapy and could provide a basis for further improvements towards a personalized approach to BCG therapy in non-muscle-invasive bladder cancer.