The role of innate immunity and microglia in the brain is currently a matter of great debate and controversy. While several studies have provided evidence that they contribute to neurodegeneration in various animal models of brain diseases and traumas, others have shown that their inhibition may in contrast be associated with more damages or less repair. We have recently reported the existence of two different types of microglia, the resident and the newly differentiated microglia that derive from the bone marrow stem cells. Of great interest is the fact that blood-derived microglial cells are associated with amyloid plaques and these cells are able to prevent the formation or eliminate the presence of amyloid deposits in mice that develop the major hallmark of Alzheimer's disease (AD). These newly recruited cells are specifically attracted to the β-amyloid 40/42 isoforms in vivo and they participate in the elimination of these proteins by phagocytosis. This review presents the mechanisms involved in the control of the innate immune response by microglia and the beneficial properties of such a response in brain diseases, such as AD.