Multiple sclerosis (MS) is a chronic inflammatory disease resulting in demyelination and axonal loss within the CNS. An autoimmune reaction directed against myelin antigens contributes to the disease process. As the CNS has long been considered an immune privileged site, how such an immune response can develop locally has remained enigmatic. Recent data, mostly based on the study of animal models for MS, have shown that the CNS is in fact more permissive to the development of immune responses than previously thought. This observation is counterbalanced by the fact that immune tolerance to myelin antigens can be induced outside the CNS. This review focuses on the mechanisms preventing CNS autoimmunity, which act in three separate tissues. In the thymus, expression of CNS autoantigens promotes partial protection, notably through elimination of autoreactive T cells. In the secondary lymphoid organs, the remaining autoreactive T cells are kept under control by the naturally occurring regulatory T cells of the CD4+Foxp3+ phenotype. In the CNS, multiple mechanisms including the local activation of regulatory T cells further limit autoimmunity. A better understanding of the induction of regulatory T cells, of their mechanisms of action, and of approaches to manipulate them in vivo may offer new therapeutic opportunities for MS patients.