Apolipoprotein E (apoE) is a 34.2 kDa glycoprotein characterized by its wide tissue distribution and multiple functions. The nonlipid-related properties of apoE include modulating inflammation and oxidation, suppressing T cell proliferation, regulating macrophage functions, and facilitating lipid antigen presentation by CD1 molecules to natural killer T (NKT) cells, and so forth. Increasing studies have revealed that APOE epsilon allele might be associated with multiple sclerosis (MS), although evidence is still not sufficient enough. In this review, we summarized the current progress of the immunomodulatory functions of apoE, with special focus on the association of APOE epsilon allele with the clinical features of MS and of its animal model experimental autoimmune encephalomyelitis (EAE).