Background: Randomized controlled trials (RCTs) are the gold-standard for benefit-risk assessments during drug approval processes. Real-word data (RWD) and the resulting real-world evidence (RWE) are becoming increasingly important for assessing the effectiveness of drug products after marketing authorization showing how RCT results are transferred into real life care. The effectiveness of allergen immunotherapy (AIT) has been assessed in several RWE studies based on large prescription databases. Methods: We performed a literature search for retrospective cohort assessments of prescription databases in Europe to provide an overview on the methodology, long-term effectiveness outcomes and adherence to AIT. Results: 13 respective publications were selected. AIT was more effective in reducing the progression of allergic rhinitis (AR) compared to a non-AIT control group receiving only symptomatic treatment for AR for up to 6 years. The development and progression of asthma was hampered for most endpoints in patients treated with most preparations compared to the non-AIT group, receiving only anti-asthmatic medication. The results for “time to onset” of asthma were inconsistent. Adherence to AIT decreased during the recommended 3-years treatment period, however in most studies higher adherence to subcutaneous than to sublingual AIT was shown. Conclusion: The analysis of long-term effectiveness outcomes of the RWE studies based on prescription databases confirms the long-term efficacy of AIT demonstrated in RCTs. Progression of rhinitis and asthma symptoms as well as delayed onset of asthma triggered by different allergens, real life adherence to the treatment shows differences in particular application routes.