The innate immune system is an important defense barrier against invasive microbial threats in plants and animals. The nematode worm Caenorhabditis elegans is a classic model to investigate the genetic and cellular mechanisms of the interaction between host and pathogens. In the past years, many studies have elucidated the machinery of host-pathogen interactions using C. elegans. Neurons secrete/release neuropeptides and neurotransmitters such as NLP-20 and dopamine, which in turn mediate microbial recognition, promote pathogen avoidance, activate innate immune response signaling to stimulate antimicrobial peptide expression and kill microbes, and ultimately protect organisms from pathogen infection. In this review, we summarize the recent advances in the mechanisms of neural modulation of innate immunity in C. elegans, which provide important knowledge not only for machinery of functional interaction between nervous and immune system, but also for pathological mechanisms of nervous and immune system related diseases.