This paper is a brief review of thermally induced covalent modifications to proteins in foods, focussing mainly on the advanced glycation end-products (AGE) of the Maillard reaction. Most foods are subjected to thermal processing, either in the home or during their production/manufacture. Thermal processing provides many beneficial effects, but also brings about major changes in allergenicity. Far from being a general way to decrease allergenic risk, thermal processing is as likely to increase allergenicity as to reduce it, through the introduction of neoantigens. These changes are highly complex and not easily predictable, but there are a number of major chemical pathways that lead to distinct patterns of modification. Perhaps the most important of these is through the reaction of protein amino groups with sugars, leading to an impressive cocktail of AGE-modified protein derivatives. These are antigenic and many of the important neoantigens found in cooked or stored foods are probably such Maillard reaction products. A deeper understanding of thermally induced chemical changes is essential for more advanced risk assessments, more effective QC protocols, production of more relevant diagnostic allergen extracts and the development of novel protein engineering and therapeutic approaches to minimise allergenic risk.