The blood hormone erythropoietin (EPO), upon binding to its receptor (EpoR), modulates high-fat diet-induced (HFO-induced) obesity in mice, improves glucose tolerance, and prevents white adipose tissue inflammation. Transgenic mice with constitutive overexpression of human EPO solely in the brain (Tg21) were used to assess the neuroendocrine EPO effect without increasing the hematocrit. Male Tg21 mice resisted HFD-induced weight gain; showed lower serum adrenocorticotropic hormone, corticosterone, and C-reactive protein levels; and prevented myeloid cell recruitment to the hypothalamus compared with WT male mice. HFD-induced hypothalamic inflammation (HI) and microglial activation were higher in male mice, and Tg21 male mice exhibited a lower increase in HI than WT male mice. Physiological EPO function in the brain also showed sexual dimorphism in regulating HFD response. Female estrogen production blocked reduced weight gain and HI. Targeted deletion of EpoR gene expression in neuronal cells worsened HFD-induced glucose intolerance in both male and female mice but increased weight gain and HI in the hypothalamus in male mice only. Both male and female Tg21 mice kept on normal chow and HFD showed significantly improved glycemic control. Our data indicate that cerebral EPO regulates weight gain and HI in a sex-dependent response, distinct from EPO regulation of glycemic control, and independent of erythropoietic EPO response.