Fever is an adaptive host response coordinated by the central nervous system (CNS) during systemic immune challenge. Recent research shed light on the mechanism of fever generation, particularly the underlying neural pathways. In this review, we first briefly summarize current views on the mechanism of sensing microbial infection by the nervous system, and the roles of prostaglandin E2 (PGE2) and its receptors in fever; then we focus on the neural circuits underlying fever generation, particularly their relationship with the distribution of PGE2 receptors within the CNS. At the end, an overall neurochemical model of fever generation is presented, pointing to the direction for future studies.