Allergen specific immunotherapy has been introduced in the clinic more than 100 years ago showing effectiveness and, so far, it represents the only curative approach to treat allergic disorders ameliorating the symptoms, reducing the medication costs and blocking the onset of new sensitizations. However, some questions are still open regarding to the safety of the treatment and the need to reduce the dose and time of administration to improve the compliance of the patients. All preparations that are currently available may trigger side effects. For these reasons, new formulations and route of administration have been exploited demonstrating that such products presented improved efficacy and safety. Nanotechnology for biomedical applications offers many advantages, such as improved stability and bioavailability, favourable biodistribution profiles and targeting to specific cell populations whose impact on the immune system has been evaluated in animal systems. Nanoparticles interact with the immune system, and the final outcome of this interaction depends on their physico-chemical characteristics. Concerns can be raised when immunotoxic effect are induced, resulting in inflammatory dangerous responses or in the reduction of the normal defensive activity of the immune system. In this paper, we will review the most relevant data about the synthesis of allergen/nanoparticles systems and will discuss their impact on the immune system in terms of immunomodulatory activity and immunotoxicity risk assessment.