Central nervous system (CNS) senses energy homeostasis by integrating both peripheral and autonomic signals and responding to them by neurotransmitters and neuropeptides release. Although it is previously considered an immunologically privileged organ, we now know that this is not so. Cells belonging to the immune system, such as B and T lymphocytes, can be recruited into the CNS to face damage or infection, in addition to possessing resident immunological cells, called microglia. In this way, positive energy balance during obesity promotes an inflammatory state in the CNS. Saturated fatty acids from the diet have been pointed out as powerful candidates to trigger immune response in peripheral system and in the CNS. However, how central immunity communicates to peripheral immune response remains to be clarified. Recently there has been a great interest in the neuropeptides, POMC derived peptides, ghrelin, and leptin, due to their capacity to suppress or induce inflammatory responses in the brain, respectively. These may be potential candidates to treat different pathologies associated with autoimmunity and inflammation. In this review, we will discuss the role of lipotoxicity associated with positive energy balance during obesity in proinflammatory response in microglia, B and T lymphocytes, and its modulation by neuropeptides.