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Trained immunity, characterized by the long-term functional reprogramming of innate immune cells through epigenetic and metabolic modifications, has emerged as a pivotal concept bridging innate and adaptive immune responses. This review explores the dual role of trained immunity as both a protective mechanism in cancer and a pathogenic driver in autoimmune diseases. We first discuss the underlying mechanisms involving histone modifications, chromatin remodeling, and metabolic pathways such as glycolysis and the mTOR/HIF-1α axis, alongside key regulators including NOD2 and pattern recognition receptors. The contribution of trained immunity to antitumor responses is highlighted through its ability to enhance innate cell cytotoxicity, remodel the tumor microenvironment, and synergize with immune checkpoint blockade and BCG immunotherapy. Conversely, we examine how infections, dysbiosis, and dietary factors can induce maladaptive trained immunity, leading to persistent hyperinflammatory states and exacerbation of autoimmune diseases such as rheumatoid arthritis, systemic lupus erythematosus, and multiple sclerosis. Furthermore, we address therapeutic strategies to modulate trained immunity, including small molecules, β-glucan, statins, and BCG derivatives, emphasizing their potential applications in cancer immunotherapy and autoimmunity control. We also underscore the risks of unintended immune activation, such as autoimmune flare-ups during cancer treatment or compromised host defense during immunosuppression. Finally, we discuss future directions, including the development of trained immunity-based vaccines, personalized immunomodulatory approaches, and the integration of multi-omics and artificial intelligence to design patient-specific interventions. Understanding the complex interplay between trained immunity, cancer, and autoimmunity will be crucial for translating these insights into innovative therapeutic strategies.