Low-grade systemic inflammation is a key pathophysiological component of atherosclerotic cardiovascular disease (CVD), and long-term activation of myeloid cells is thought to be crucial for these effects. Obesity and associated metabolic complications including hyperglycaemia and dyslipoproteinaemia can induce long-lasting inflammatory reprogramming of the innate immune cells and their bone marrow progenitors, which in turn contributes to atherosclerosis. In this review, we discuss the mechanisms through which innate immune cells undergo long-term changes in their functional, epigenetic, and metabolic characteristics upon even short-term exposure to endogenous ligands, a process also termed ‘trained immunity’. Inappropriate induction of trained immunity leads to the development of long-lasting hyperinflammatory and proatherogenic changes in monocytes and macrophages, an important factor in the development of atherosclerosis and CVDs. Knowledge of the specific immune cells and the distinct intracellular molecular pathways involved in the induction of trained immunity will reveal novel pharmacological targets that could be used to prevent or treat CVDs in the future.