A key issue in the immune system is to generate specific cell types, often with opposing activities. The mechanisms of differentiation and subtype specification of immune cells such as macrophages and dendritic cells are critical to understand the regulatory principles and logic of the immune system. In addition to cytokines and pathogens, it is increasingly appreciated that lipid signaling also has a key role in differentiation and subtype specification. In this review we explore how intracellular lipid signaling via a set of transcription factors regulates cellular differentiation, subtype specification, and immune as well as metabolic homeostasis. We introduce macrophages and dendritic cells and then we focus on a group of transcription factors, nuclear receptors, which regulate gene expression upon receiving lipid signals. The receptors we cover are the ones with a recognized physiological function in these cell types and ones which heterodimerize with the retinoid X receptor. These are as follows: the receptor for a metabolite of vitamin A, retinoic acid: retinoic acid receptor (RAR), the vitamin D receptor (VDR), the fatty acid receptor: peroxisome proliferator-activated receptor γ (PPARγ), the oxysterol receptor liver X receptor (LXR), and their obligate heterodimeric partner, the retinoid X receptor (RXR). We discuss how they can get activated and how ligand is generated and eliminated in these cell types. We also explore how activation of a particular target gene contributes to biological functions and how the regulation of individual target genes adds up to the coordination of gene networks. It appears that RXR heterodimeric nuclear receptors provide these cells with a coordinated and interrelated network of transcriptional regulators for interpreting the lipid milieu and the metabolic changes to bring about gene expression changes leading to subtype and functional specification. We also show that these networks are implicated in various immune diseases and are amenable to therapeutic exploitation.