In women and animal models, hypothyroidism induces hypercholesterolemia, pancreatitis, and insulitis. We investigated whether lipids are involved in the effects of hypothyroidism in the pancreas. Control (n = 6) and hypothyroid (n = 6) adult female rabbits were used. We quantified serum and pancreatic triacylglycerol and total cholesterol levels, the oxidative and antioxidant status, and the expression of low‐density lipoprotein cholesterol receptor (LDLR) in the pancreas. Inflammation of the pancreas was evaluated by infiltration of immune cells positive to CD163 and α‐farnesoid receptor (FXRα). Other lipid players involved in both inflammation and insulin secretion of the pancreas, such as lanosterol 14‐α‐demethylase (CYP51A1), β‐farnesoid receptor (FXRβ), 3β‐hydroxysteroid dehydrogenase (3β‐HSD), and peroxisome proliferator‐activated receptor β (PPARβ/δ), were quantified. Groups were compared by t‐Student or U‐Mann–Whitney tests (p ≤ 0.05). Hypothyroidism induced hypercholesterolemia and a high cholesterol accumulation in the pancreas of female rabbits, without affecting oxidative or antioxidative status nor the expression of LDLR. The pancreas of hypothyroid females showed inflammation identified by a great infiltration of immune cells, macrophages CD163+, and loss of expression of FXRα+ in immune cells. Moreover, a reduced expression of CYP51A1, FXRβ, and PPARβ/δ, but not 3β‐HSD, in the hypothyroid pancreas was found. Pancreatitis and insulitis promoted by hypothyroidism may be related to the accumulation of cholesterol, lanosterol actions, and the activation of PPARβ/δ. All inflammatory markers evaluated in this study are related to glucose regulation, suggesting the link between hypothyroidism and diabetes.