Yellow fever mosquito Aedes aegypti transmits many devastating arthropod-borne viruses (arboviruses), such as dengue virus, yellow fever virus, Chikungunya virus, and Zika virus, which cause great concern to human health. Mosquito control is an effective method to block the spread of infectious diseases. Ae. aegypti uses its innate immune system to fight against arboviruses, parasites, and fungi. In this review, we briefly summarize the recent findings in the immune response of Ae. aegypti against arboviral and entomopathogenic infections. This review enriches our understanding of the mosquito immune system and provides evidence to support the development of novel mosquito control strategies.