Microglial cells, the immune cells of the central nervous system (CNS), play a crucial role for the proper brain development and function and in CNS homeostasis. While in physiological conditions, microglia continuously check the state of brain parenchyma, in pathological conditions, microglia can show different activated phenotypes: In the early phases, microglia acquire the M2 phenotype, increasing phagocytosis and releasing neurotrophic and neuroprotective factors. In advanced phases, they acquire the M1 phenotype, becoming neurotoxic and contributing to neurodegeneration. Underlying this phenotypic change, there is a switch in the expression of specific microglial genes, in turn modulated by epigenetic changes, such as DNA methylation, histones post-translational modifications and activity of miRNAs. New roles are attributed to microglial cells, including specific communication with neurons, both through direct cell–cell contact and by release of many different molecules, either directly or indirectly, through extracellular vesicles. In this review, recent findings on the bidirectional interaction between neurons and microglia, in both physiological and pathological conditions, are highlighted, with a focus on the complex field of microglia immunomodulation through epigenetic mechanisms and/or released factors. In addition, advanced technologies used to study these mechanisms, such as microfluidic, 3D culture and in vivo imaging, are presented.