Multiple sclerosis (MS) is a chronic inflammatory demyelinating disease of the central nervous system (CNS). Demyelination is a classical feature of MS lesions, and neurological deficits are often ascribed to the reduced signal conduction by demyelinated axons. However, recent studies emphasize that axonal loss is an important factor in MS pathogenesis and disease progression. Axonal loss is found in association with cellular infiltrates in MS lesions. In this review, we discuss the possible contribution of the innate immune system in this process. In particular, we describe how infiltrated macrophages may contribute to axonal loss in MS and in experimental autoimmune encephalomyelitis (EAE), the animal model for MS. An overview is given of the possible effects of mediators, which are produced by activated macrophages, such as such as pro-inflammatory cytokines, free radicals, glutamate and metalloproteases, on axonal integrity. We conclude that infiltrated macrophages, which are activated to produce pro-inflammatory mediators, may be interesting targets for therapeutic approaches aimed to prevent or reduce axonal loss during exacerbation of inflammation. Interference with the process of infiltration and migration of monocytes across the blood-brain barrier is one of the possibilities to reduce the damage by activated macrophages.