Peroxisome proliferator-activated receptor α is a potent regulator of systemic and cellular metabolism and energy homeostasis, but it also suppresses various inflammatory reactions. In this review, we focus on its role in the regulation of innate immunity; in particular, we discuss the PPARα interplay with inflammatory transcription factor signaling, pattern-recognition receptor signaling, and the endocannabinoid system. We also present examples of the PPARα-specific immunomodulatory functions during parasitic, bacterial, and viral infections, as well as approach several issues associated with innate immunity processes, such as the production of reactive nitrogen and oxygen species, phagocytosis, and the effector functions of macrophages, innate lymphoid cells, and mast cells. The described phenomena encourage the application of endogenous and pharmacological PPARα agonists to alleviate the disorders of immunological background and the development of new solutions that engage PPARα activation or suppression.