Cholesterol plays essential roles in biological processes, including cell membrane stability and myelin formation. Cholesterol can be metabolized to oxysterols by enzymatic or nonenzymatic ways. Nonenzymatic cholesterol metabolites, also called cholesterol‐autoxidation metabolites, are formed dependent on the oxidation of reactive oxygen species (ROS) such as OH• or reactive nitrogen species, such as ONOO−. Cholesterol‐autoxidation metabolites are abundantly produced in diseases such as inflammatory bowel disease and atherosclerosis, which are associated with oxidative stress. Recent studies have shown that cholesterol‐autoxidation metabolites can further regulate the immune system. Here, we review the literature and summarize how cholesterol‐autoxidation metabolites, such as 25‐hydroxycholesterol (25‐OHC), 7α/β‐OHC, and 7‐ketocholesterol, deal with the occurrence and development of infectious diseases through pattern recognition receptors, inflammasomes, ROS production, nuclear receptors, G‐protein‐coupled receptor 183, and lipid availability. In addition, we include the research regarding the roles of these metabolites in COVID‐19 infection and discuss our viewpoints on the future research directions.