Hen’s egg allergy is one of the most common food allergies in the Western world, with an increase in recent years. It affects about 9.5% of the pediatric population, and the onset most often occurs before the first year of life. The occurrence of spontaneous oral tolerance acquisition varies among studies, but it is generally high by school age. Nowadays, allergen immunotherapy may represent the only therapeutic strategy able to modify the natural history of hen’s egg allergy. Specifically, many children with hen’s egg allergy may tolerate baked eggs. Food processing, specifically high temperatures, alters the allergenicity of hen’s egg proteins by causing conformational changes in allergen epitopes, which makes them less allergenic. This review aims to discuss the scientific evidence in the field of baked egg oral immunotherapy in hen’s egg-allergic children, with a meticulous examination of the pertinent literature surrounding the subject matter.