Arthropod-borne viruses (arboviruses) represent an emerging threat to human and livestock health globally. In particular, those transmitted by mosquitoes present the greatest challenges to disease control efforts. An understanding of the molecular basis for mosquito innate immunity to arbovirus infection is therefore critical to investigations regarding arbovirus evolution, virus-vector ecology, and mosquito vector competence. In this review, we discuss the current state of understanding regarding mosquito innate immunity to West Nile virus. We draw from the literature with respect to other virus-vector pairings to attempt to draw inferences to gaps in our knowledge about West Nile virus and relevant vectors.