Intermediates in the cholesterol-biosynthetic pathway and oxysterol derivatives of cholesterol regulate diverse cellular processes. Recent studies have expanded the appreciation of their roles in controlling the functions of cells of the innate and adaptive immune systems. Here we review recent literature reporting on the biological functions of sterol intermediates and oxysterols, acting through transcription factors such as the liver X receptors (LXRs), sterol regulatory element-binding proteins (SREBPs) and the G protein-coupled receptor EBI2, in regulating the differentiation and population expansion of cells of the innate and adaptive immune systems, their responses to inflammatory mediators, their effects on the phagocytic functions of macrophages and their effects on antiviral activities and the migration of immune cells. Such findings have raised many new questions about the production of endogenous bioactive sterols and oxysterols and their mechanisms of action in the immune system.