Signalling lipids are known to control a wide array of cellular processes, including cell proliferation, apoptosis, migration, and energy metabolism. Fatty acids and their derivatives, eicosanoids, phosphoinositides, sphingolipids, some cannabinoid-like molecules bind and activate nuclear receptors, including peroxisome proliferator-activated receptors (PPARs). This subfamily of transcription factors comprises three isotypes - PPARα (NR1C1), PPAR β/δ (NR1C2), PPARγ (NR1C3) - which bind to specific DNA response elements, as heterodimers with retinoid X receptors. PPAR activity is modulated by post-translational modifications and cofactors, towards which they show differential affinity. The three PPARs mutually interact, being integrated in a complex system, leading to the concept of a "PPAR triad". Nevertheless, the isotypes also show distinct actions on cellular physiology and partially different tissue, ligand and target gene specificities. In the brain, while the functions of PPARγ and its ligands are being thoroughly investigated, the actual and potential roles of PPARα and β/δ are far from being clarified. PPARα appears especially intriguing, since it is selectively expressed in certain brain areas and neuronal/glial populations, and modulates antioxidant responses, neurotransmission, neuroinflammation, neurogenesis, and glial cell proliferation/differentiation. This receptor and its endogenous ligands, including oleoylethanoloamide (OEA) and palmitoylethanolamide (PEA), are involved in physiological and pathological responses, such as satiety, memory consolidation, and modulation of pain perception. The protective role of PPARα agonists in neurodegenerative diseases and in neuropsychiatric disorders makes manipulation of this pathway highly attractive as therapeutic strategy for neuropathological conditions. In this review, we focus on the pleiotropic functions of PPARα and its lipid ligands in the nervous tissue, devoting special attention to neuroprotection.