Bacillus Calmette–Guérin (BCG) immunotherapy for bladder cancer has been used since 1976 when the first evidence of its ability to lower recurrence and progression rates was published. Today, BCG immunotherapy is the choice of care for high-grade non-muscle invasive bladder cancer (NMIBC) after transurethral resection. This article presents indications and procedure of BCG instillations, and outlines the effects on recurrence and progression of NMIBC. The BCG-induced immunity in NMIBC is not yet fully understood. Animal studies point towards BCG inducing specific tumour immunity. We describe the current knowledge of how this immunity is induced, from internalization of BCG bacilli in urothelial cells, to cytokine- and chemokine-mediated recruitment of neutrophils, monocytes, macrophages, T cells, B cells and natural killer cells. In addition, we describe the process of trained immunity, the non-specific protective effects of BCG. Recent studies also indicate that dysbiosis of the urinary microbiome may cause lower urinary tract dysfunction. Side effects of BCG bladder instillations range from common, mild and transient symptoms, such as dysuria and flu-like symptoms, to more severe and rarely occurring life-threatening complications. We review the literature and give an overview of reported incidences and management of BCG infections after intravesical instillation.