Mosquitoes live under the endless threat of infections from different kinds of pathogens such as bacteria, parasites, and viruses. The mosquito defends itself by employing both physical and physiological barriers that resist the entry of the pathogen and the subsequent establishment of the pathogen within the mosquito. However, if the pathogen does gain entry into the insect, the insect mounts a vigorous innate cellular and humoral immune response against the pathogen, thereby limiting the pathogen’s propagation to nonpathogenic levels. This happens through three major mechanisms: phagocytosis, melanization, and lysis. During these processes, various signaling pathways that engage intense mosquito–pathogen interactions are activated. A critical overview of the mosquito immune system and latest information about the interaction between mosquitoes and pathogens are provided in this review. The conserved, innate immune pathways and specific anti-pathogenic strategies in mosquito midgut, hemolymph, salivary gland, and neural tissues for the control of pathogen propagation are discussed in detail.