As the prevalence of obesity and chronic disease increases, the role of nutrition is taking center stage as a potential root cause of not just metabolic-related illnesses, but also of disorders of the central nervous system (CNS). Consumption of a modern, westernized diet, such as a high fat diet (HFD) that contains excess saturated fatty acids (SFAs), refined carbohydrates, and ultra-processed ingredients has been shown to induce neuroinflammation in multiple brain regions important for energy homeostasis, cognitive function, and mood regulation in rodents, non-human primates, and humans. This review article summarizes the literature showing Western diets, via SFA increases, can increase the reactivity and alter the function of multiple types of immune cells from both the innate and adaptive branches of the immune system, with a specific focus on microglia, macrophages, dendritic cells, and T-cells. These changes in immune and neuroimmune signaling have important implications for neuroinflammation and brain health and will be an important factor in future psychoneuroimmunology research.