Historically, only cells of the adaptive immune system have been considered capable of retaining memory for infectious challenges. Recently, however, cells of the innate immune system have been shown to be capable of displaying long-term functional memory following a single immunostimulatory challenge, leading to enhanced production of proinflammatory molecules upon other subsequent, and temporally distant, immunostimulatory challenges. This effect has been termed 'trained innate immunity', and is underwritten by stable epigenetic changes in immune and metabolic pathways. Importantly, the long-term training of innate immune cells can occur as a result of infectious as well as and non-infectious challenges, including stress. Given the role that both stress and an activated immune system have in neuropathology, innate immune training has important implications for our understanding and treatment of neuropsychiatric disorders. This review focuses on the evidence for trained innate immunity and highlights some insights into its relevance for psychiatric diseases.