Innate immune function is shaped by prior exposures in a phenomenon often referred to as ‘memory’ or ‘training’. Diverse stimuli, ranging from pathogen-associated molecules to atherogenic lipoproteins, induce long-lasting training, impacting on future responses, even to distinct stimuli. It is now recognised that epigenetic modifications in innate immune cells, and their progenitors, underpin these sustained behavioural changes, and that rewired cellular metabolism plays a key role in facilitating such epigenetic marks. Oxygen is central to cellular metabolism, and cells exposed to hypoxia undergo profound metabolic rewiring. A central effector of these responses are the hypoxia inducible factors (or HIFs), which drive transcriptional programmes aiming to adapt cellular homeostasis, such as by increasing glycolysis. These metabolic shifts indirectly promote post-translational modification of the DNA-binding histone proteins, and also of DNA itself, which are retained even after cellular oxygen tension and metabolism normalise, chronically altering DNA accessibility and utilisation. Notably, the activity of HIFs can be induced in some normoxic circumstances, indicating their broad importance to cell biology, irrespective of oxygen tension. Some HIFs are implicated in innate immune training and hypoxia is present in many disease states, yet many questions remain about the association between hypoxia and training, both in health and disease. Moreover, it is now appreciated that cellular responses to hypoxia are mediated by non-HIF pathways, suggesting that other mechanisms of training may be possible. This review sets out to define what is already known about the topic, address gaps in our knowledge, and provide recommendations for future research.