The characteristics of innate immunity have recently been investigated in depth in several research articles, and original findings suggest that innate immunity also has a memory capacity, which has been named “trained immunity”. This notion has revolutionized our knowledge of the innate immune response. Thus, stimulation of trained immunity represents a therapeutic alternative that is worth exploring. In this context, probiotics, live microorganisms which when administered in adequate amounts confer a health benefit on the host, represent attractive candidates for the stimulation of trained immunity; however, although numerous studies have documented the beneficial proprieties of these microorganisms, their mechanisms of action are not yet fully understood. In this review, we propose to explore the putative connection between probiotics and stimulation of trained immunity.