Although I subscribe to the notion of natural healing and that there are indeed substances in our food and other natural sources with health benefits, I am skeptic of a lot of Dietary supplements in the market today with health claims. One reason is that a lot, if not most, dietary supplements do not undergo through rigorous clinical testing that drugs and other pharmaceuticals do an the claims are not approved as such by the FDA and other regulatory authorities.

One dietary supplement that supposedly work against hay fever symptoms is Historal. From the allergy products review:

Historal contains all-natural ingredients and toughens your immune system while controlling the release of histamines into your bloodstream. A favorable result is often noted in a reasonably short time span. Even better, your body becomes more resistant to the allergens the longer you take the supplement. This is the exact opposite of other OTC and prescription allergy medications. Some people compare taking Historal to working out. The more you do it, the more obvious your results become.

I've done some web search, but I couldn't find out what the active ingredient in Historal really is. So until I do, and until I uncover well-designed scientific studies that proves its efficacy, I remain skeptic. However, I am not a medical professional; if you want to try it, do ask your allergist for more info.