Allergen immunotherapy (AIT) is the only treatment with disease-transforming potential for allergic disorders. The immunological mechanisms associated with AIT can be divided along time in two phases: short-term, involving mast cell (MC) desensitization; and long-term, with a regulatory T cell (Treg) response with significant reduction of eosinophilia. This regulatory response is induced in about 70% of patients and lasts up to 3 years after AIT cessation. MC desensitization is characteristic of the initial phase of AIT and it is often related to its success. Yet, the molecular mechanisms involved in allergen-specific MC desensitization, or the connection between MC desensitization and the development of a Treg arm, are poorly understood. The major AIT challenges are its long duration, the development of allergic reactions during AIT, and the lack of efficacy in a considerable proportion of patients. Therefore, reaching a better understanding of the immunology of AIT will help to tackle these short-comings and, particularly, to predict responder-patients. In this regard, omics strategies are empowering the identification of predictive and follow-up biomarkers in AIT. Here, we review the immunological mechanisms underlying AIT with a focus on MC desensitization and AIT-induced adverse reactions. Also, we discuss the identification of novel biomarkers with predictive potential that could improve the rational use of AIT.