Cellular cholesterol metabolism, lipid raft formation, and lipoprotein interactions contribute to the regulation of immune-mediated inflammation and response to pathogens. Lipid pathways have been implicated in the pathogenesis of bacterial and viral infections, whereas altered lipid metabolism may contribute to immune dysfunction in autoimmune diseases, such as systemic lupus erythematosus, multiple sclerosis, and rheumatoid arthritis. Interestingly, dietary cholesterol may exert protective or detrimental effects on risk, progression, and treatment of different infectious and autoimmune diseases, although current findings suggest that these effects are variable across populations and different diseases. Research evaluating the effects of dietary cholesterol, often provided by eggs or as a component of Western-style diets, demonstrates that cholesterol-rich dietary patterns affect markers of immune inflammation and cellular cholesterol metabolism, while additionally modulating lipoprotein profiles and functional properties of HDL. Further, cholesterol-rich diets appear to differentially impact immunomodulatory lipid pathways across human populations of variable metabolic status, suggesting that these complex mechanisms may underlie the relationship between dietary cholesterol and immunity. Given the Dietary Guidelines for Americans 2015–2020 revision to no longer include limitations on dietary cholesterol, evaluation of dietary cholesterol recommendations beyond the context of cardiovascular disease risk is particularly timely. This review provides a comprehensive and comparative analysis of significant and controversial studies on the role of dietary cholesterol and lipid metabolism in the pathophysiology of infectious disease and autoimmune disorders, highlighting the need for further investigation in this developing area of research.