Anaphylaxis is a notorious type 2 immune response which may result in a systemic response and lead to death. A precondition for the unfolding of the anaphylactic shock is the secretion of inflammatory mediators from mast cells in response to an allergen, mostly through activation of the cells via the IgE-dependent pathway. While mast cells are specialized secretory cells that can secrete through a variety of exocytic modes, the most predominant mode exerted by the mast cell during anaphylaxis is compound exocytosis—a specialized form of regulated exocytosis where secretory granules fuse to one another. Here, we review the modes of regulated exocytosis in the mast cell and focus on compound exocytosis. We review historical landmarks in the research of compound exocytosis in mast cells and the methods available for investigating compound exocytosis. We also review the molecular mechanisms reported to underlie compound exocytosis in mast cells and expand further with reviewing key findings from other cell types. Finally, we discuss the possible reasons for the mast cell to utilize compound exocytosis during anaphylaxis, the conflicting evidence in different mast cell models, and the open questions in the field which remain to be answered.