Cholesterol is a member of the sterol family that plays essential roles in biological processes, including cell membrane stability and myelin formation. Cholesterol can be metabolized into several molecules including bile acids, hormones, and oxysterols. Studies from the last few decades have demonstrated that oxysterols are not only active metabolites but are further involved in the modulation of immune responses. Liver X Receptors (LXRs), nuclear receptors for oxysterols, are important for cholesterol homeostasis and regulation of inflammatory response but are still poorly characterized during autoimmune diseases. Here we review the current knowledge about the role of oxysterols during autoimmune conditions and focus on the implication of LXR-dependent and LXR-independent pathways. We further highlight the importance of these pathways in particular during central nervous system (CNS) autoimmunity and inflammatory bowel diseases (IBD) in both experimental models and human studies. Finally, we discuss our vision about future applications and research on oxysterols related to autoimmunity.