Low-grade tissue inflammation induced by obesity can result in insulin resistance, which in turn is a key cause of type 2 diabetes mellitus. Cells of the innate immune system produce cytokines and other factors that impair insulin signalling, which contributes to the connection between obesity and the onset of type 2 diabetes mellitus. Here, we review the innate immune cells involved in secreting inflammatory factors in the obese state. In the adipose tissue, these cells include proinflammatory adipose tissue macrophages and natural killer cells. We also discuss the role of innate immune cells, such as anti-inflammatory adipose tissue macrophages, eosinophils, group 2 innate lymphoid cells and invariant natural killer T cells, in maintaining an anti-inflammatory and insulin-sensitive environment in the lean state. In the liver, both Kupffer cells and recruited hepatic macrophages can contribute to decreased hepatic insulin sensitivity. Proinflammatory macrophages might also adversely affect insulin sensitivity in the skeletal muscle and pancreatic β-cell function. Finally, this Review provides an overview of the mechanisms for regulating proinflammatory immune responses that could lead to future therapeutic opportunities to improve insulin sensitivity.