Treatment for higher‐risk non‐muscle invasive bladder cancer (NMIBC) involves intravesical immunotherapy with Bacillus Calmette Guérin (BCG); however, disease recurrence and progression occur frequently. Systemic immunity is critical for successful cancer immunotherapy; thus, recurrence of NMIBC may be due to suboptimal systemic activation of anti‐tumor immunity after local immunotherapy. We previously reported that systemically acquired trained immunity (a form of innate immune memory) in circulating monocytes is associated with increased time‐to‐recurrence in patients with NMIBC treated with BCG. Herein, we used a mouse model of NMIBC to compare the effects of intravesical versus intravenous (systemic) BCG immunotherapy on the local and peripheral immune microenvironments. We also assessed whether BCG‐induced trained immunity modulates anti‐tumor immune responses. Compared with intravesical BCG, which led to a tumor‐promoting immune microenvironment, intravenous BCG resulted in an anti‐tumoral bladder microenvironment characterized by increased proportions of cytotoxic T lymphocytes (CTLs), and decreased proportions of myeloid‐derived suppressor cells. Polarization toward anti‐tumoral immunity occurred in draining lymph nodes, spleen, and bone marrow following intravenous versus intravesical BCG treatment. Pre‐treatment with intravesical BCG was associated with increased rate of tumor growth compared with intravenous BCG pre‐treatment. Trained immunity contributed to remodeling of the tumor immune microenvironment, as co‐instillation of BCG‐trained macrophages with ovalbumin‐expressing bladder tumor cells increased the proportion of tumor‐specific CTLs. Furthermore, BCG‐trained dendritic cells exhibited enhanced antigen uptake and presentation and promoted CTL proliferation. Our data support the concept that systemic immune activation promotes anti‐tumor responses, and that BCG‐induced trained immunity is important in driving anti‐tumor adaptive immunity.