Hypercholesterolemia is recognized as one of the major risk factors in cardiovascular disease. It promotes the development of a proinflammatory phenotype in large vessels, in particular arteries, with disease. Cells of the innate and adaptive immune system are localized within atherosclerotic plaques and participate in the initiation and progression of plaque formation. It is now recognized that each segment of the microvasculature also experiences inflammation due to hypercholesterolemia, and that this occurs long before events in the large vessels. More recently, it is has been established that the innate and adaptive immune systems participate in the responses of postcapillary venules, and possibly arterioles, to elevated cholesterol levels, and that T lymphocytes may be one of the early cell types activated by hypercholesterolemia. These cells initiate a series of steps that lead to leukocyte accumulation in postcapillary venules and endothelial dysfunction in the arterioles. This review discusses the microvascular alterations induced by hypercholesterolemia, with particular attention paid to the roles of the innate and adaptive immune responses, and how these two systems may communicate to induce the microvascular inflammation.