In the nervous system, neurotrophic factors play a role during development, especially for the differentiation of neuronal and glial cells. Moreover, they promote cell survival of neurons, axons, and oligodendrocytes, as well as their precursors, in vitro and in lesional paradigms. In recent years, several functions of neurotrophic factors outside the nervous system have been described, with a special focus on the immune system as well as on models of autoimmune demyelination, such as experimental autoimmune encephalomyelitis (EAE). In the family of neurotrophins, nerve growth factor (NGF) and brain-derived neurotrophic factor (BDNF) were investigated. NGF may influence B-cell as well as T-cell function and particularly plays a role in macrophage migration into inflamed lesions. BDNF is produced by several immune-cell subtypes in vitro and also in multiple sclerosis (MS) plaques. This observation gave rise to the concept of neuroprotective autoimmunity, implying that immune-cell infiltration in the nervous system may not only be detrimental but may also play a beneficial role, for example, through the production of neurotrophic factors. In the family of neurotrophic cytokines, ciliary neurotrophic factor (CNTF) and leukemia inhibitory factor (LIF) share some common protective roles in axons and oligodendrocytes. In EAE, endogenous CNTF targets myelin, oligodendroglial cells, and axons. In contrast, LIF exerts protective functions on oligodendrocytes in some models but is also able to interact with the immune response and may modulate T-cell, monocyte and neutrophil functions. In summary, neurotrophic factors have distinct roles in the immune system during autoimmunity and may modulate immune responses as well as the susceptibility of the target tissue.