Sex plays a role in the incidence and outcome of neurological illnesses, also influencing the response to treatments. Despite sexual differentiation of the brain has been extensively investigated, the study of sex differences in microglia, the brain's resident immune cells, has been largely neglected until recently. To fulfill this gap, our laboratory developed several tools, including cellular and animal models, which bolstered in-depth studies on sexual differentiation of microglia and its impact on brain physiology, as well as on the onset and progression of neurological disorders. Here, we summarize the current status of knowledge on the sex-dependent function of microglia, and report recent evidence linking these cells to the sexual bias in the susceptibility to neurological brain diseases.