Oxysterols are derivatives of cholesterol and an important regulator of cholesterol metabolism, in part due to their role as ligands for nuclear receptors, such as the liver X receptors. Oxysterols are also known to be ligands for the RAR-related orphan receptors, involved in normal T cell differentiation. However, increasing evidence supports a role for oxysterols in the progression of several diseases. Here, we review recent developments in oxysterol research, highlighting the biological functions that oxysterols exert through their target nuclear receptors: the liver X receptors, estrogen receptors, RAR-related orphan receptors and the glucocorticoid receptor. We also bring the regulation of the immune system into the context of interaction between oxysterols and nuclear receptors, discussing the effect of such interaction on the pro-inflammatory function of macrophages and the development of T cells. Finally, we examine the impact that oxysterols have on various disease models, including cancer, Alzheimer's disease and atherosclerosis, stressing the role of nuclear receptors if previously identified. This review underscores the need to consider the multifaceted roles of oxysterols in terms of multiple receptor engagements and selective modulation of these receptors.