Communication between the immune system and the central nervous system (CNS) is exemplified by cross-talk between glia and neurons shown to be essential for maintaining homeostasis. While microglia are actively modulated by neurons in the healthy brain, little is known about the cross-talk between oligodendrocytes and microglia. Oligodendrocytes, the myelin-forming cells in the CNS, are essential for the propagation of action potentials along axons, and additionally serve to support neurons by producing neurotrophic factors. In demyelinating diseases such as multiple sclerosis, oligodendrocytes are thought to be the victims. Here, we review evidence that oligodendrocytes also have strong immune functions, express a wide variety of innate immune receptors, and produce and respond to chemokines and cytokines that modulate immune responses in the CNS. We also review evidence that during stress events in the brain, oligodendrocytes can trigger a cascade of protective and regenerative responses, in addition to responses that elicit progressive neurodegeneration. Knowledge of the cross-talk between microglia and oligodendrocytes may continue to uncover novel pathways of immune regulation in the brain that could be further exploited to control neuroinflammation and degeneration.