The prevalence of obesity has increased rapidly in recent years and has put a huge burden on healthcare worldwide. Obesity is associated with an increased risk for many comorbidities, such as cardiovascular diseases, type 2 diabetes and hypertension. The hypothalamus is a key brain region involved in the regulation of food intake and energy expenditure. Research on experimental animals has shown neuronal loss, as well as microglial activation in the hypothalamus, due to dietary-induced obesity. Microglia, the resident immune cells in the brain, are responsible for maintaining the brain homeostasis and, thus, providing an optimal environment for neuronal function. Interestingly, in obesity, microglial cells not only get activated in the hypothalamus but in other brain regions as well. Obesity is also highly associated with changes in hippocampal function, which could ultimately result in cognitive decline and dementia. Moreover, changes have also been reported in the striatum and cortex. Microglial heterogeneity is still poorly understood, not only in the context of brain region but, also, age and sex. This review will provide an overview of the currently available data on the phenotypic differences of microglial innate immunity in obesity, dependent on brain region, sex and age.