He mostly does these things quietly. His next endeavor will be on full display.
Allen collaborated with the NBA to design a shooting shirt that teams will wear for certain games in February, part of what he hopes brings additional spotlight to Black History Month.
The shirt features the likeness of Frederick Douglass, Harriet Tubman, Bill Russell and Dr. Martin Luther King Jr., the civil rights activist whose life is celebrated on Monday.
"It's another celebration that we can improve on to try to create greater awareness, talking about where we've come as a people, as a league and as a country,'' Allen said. "It's an opportunity to talk about a great leader of the past, but even Martin Luther King, what he fought for was civil liberties not just for black people, but for all people. So to me, Black History Month has always been about equality of all people.''
Allen and the Heat will play at Atlanta, King's birthplace, on Monday, one of 10 games league-wide that day.
And the significance of being there on Martin Luther King Day is not lost on the league's all-time leading 3-point shooter.
"I was there once before for Martin Luther King Day. It was pretty poignant to be there,'' Allen said. "Just knowing that you're there, it just seems so full-circle for us to know this is where we are. The significance for us as black men, you almost have to take a look at yourself and say how much is Martin in me and how much do I make a change or make a difference in the world I live in.''
The NBA announced Friday what it's calling the "Dream BIG'' campaign, which tips off Monday and continues through February. Heat forward Chris Bosh was featured in a commercial to kick off the celebration.
"With the NBA's young and diverse fanbase, we felt it was important to create a program that would engage kids by educating them about black history to positively impact the future,'' said Saskia Sorrosa, the league's Vice President for Multicultural/Targeted Marketing.
For Allen, that personal quest goes beyond black history.
About half the Heat roster, along with coach Erik Spoelstra and several team officials and executives, joined him for what became about a three-hour tour of the Holocaust Museum. Allen has close relationships with people running the museum, and they gladly stayed well past closing time to greet the Heat and show them around.
He's also starting to think about how he can challenge himself when his basketball career ends, with things like competing in an Ironman triathlon currently piquing his interest.
And in large part because his son has Type 1 Diabetes, Allen is routinely advocating ways for people to better themselves through diet and exercise.
"You just see things that need to be done, things that need to be taken care of,'' Allen said. "I've always known that you have to be willing to sacrifice who you are to be able to achieve greater good. That's kind of how I've been my whole life. I'm trying to figure out ways to improve who I am and what I do.''
That's also why he reached out to the league with this idea.
"It's not just about the black players in the league,'' Allen said. "It's about where we've come, what we've fought for, equality amongst all races, ethnicities, cultures and groups.''