Diabetes-associated cognitive dysfunction (DCD) is a severe complication of diabetes mellitus (DM), threatening the life quality of the diabetic population. However, there is still a lack of effective approaches for its intervention. Eicosapentaenoic acid (EPA) is an omega-3 polyunsaturated fatty acid that was not previously investigated for its effect on DCD. In this study, EPA was found to improve DCD in a mouse model of type 2 DM (T2DM) induced by streptozotocin and a high-fat diet, exhibiting profound protective effects on cognitive dysfunction, neuronal loss, and cerebral oxidative stress and inflammation. While EPA did not attenuate advanced glycation end product-induced neuron injury, we hypothesized that EPA might protect neurons by regulating microglia polarization, the effect of which was confirmed by the co-culture of neurons and lipopolysaccharide-stimulated microglia. RNA sequencing identified nuclear factor-erythroid-2-related factor 2 (NRF2) antioxidant signaling as a major target of EPA in microglia. Mechanistically, EPA increased sequestosome-1 (SQSTM1 or P62) levels that might structurally inhibit Kelch-like ECH associated protein 1 (KEAP1), leading to nuclear translocation of NRF2. P62 and NRF2 predominantly mediated EPA's effect since the knockdown of P62 or NRF2 abolished EPA's protective effect on microglial oxidative stress and inflammation and sequential neuron injuries. Moreover, the regulation of P62/KEPA1/NRF2 axes by EPA was confirmed in the hippocampi of diabetic mice. The present work presents EPA as an effective nutritional approach and microglial P62/KEAP1/NRF2 as molecular targets for the intervention of DCD.