IgE-mediated diseases represent a highly diversified and multifactorial group of disorders that can deeply impact the patients’ quality of life. Currently, allergy immunotherapy (AIT) still remains the gold standard for the management of such pathologies. In this review, we comprehensively examine and discuss how AIT can affect both the innate and the adaptive immune responses at different cell levels and propose timing-scheduled alterations induced by AIT by hypothesizing five sequential phases: after the desensitization of effector non-lymphoid cells and a transient increase of IgE (phase 1), high doses of allergen given by AIT stimulate the shift from type 2/type 3 towards type 1 response (phase 2), which is progressively potentiated by the increase of IFN-γ that promotes the chronic activation of APCs, progressively leading to the hyperexpression of Notch1L (Delta4) and the secretion of IL-12 and IL-27, which are essential to activate IL-10 gene in Th1 and ILC1 cells. As consequence, an expansion of circulating memory Th1/Tr1 cells and ILC-reg characterizes the third phase addressed to antagonize/balance the excess of type 1 response (phase 3). The progressive increase of IL-10 triggers a number of regulatory circuits sustained by innate and adaptive immune cells and favoring T-cell tolerance (phase 4), which may also be maintained for a long period after AIT interruption (phase 5). Different administration approaches of AIT have shown a similar tailoring of the immune responses and can be monitored by timely, optimized biomarkers. The clinical failure of this treatment can occur, and many genetic/epigenetic polymorphisms/mutations involving several immunological mechanisms, such as the plasticity of immune responses and the induction/maintenance of regulatory circuits, have been described. The knowledge of how AIT can shape the immune system and its responses is a key tool to develop novel AIT strategies including the engineering of allergen or their epitopes. We now have the potential to understand the precise causes of AIT failure and to establish the best biomarkers of AIT efficacy in each phase of the treatment.