Obesity has become a prevailing epidemic throughout the globe. Effective therapies for obesity become attracting. Food components with beneficial effects on “weight loss” have caught increasing attentions. Conjugated linoleic acid (CLA), docosahexaenoic acid (DHA), and eicosapentaenoic acid (EPA) belong to different families of polyunsaturated fatty acids (PUFA). However, they have similar effects on alleviating obesity and/or preventing from obesity. They influence the balance between energy intake and expenditure; and reduce body weight and/or fat deposition in animal models, but show little effect in healthy human subjects. They inhibit key enzymes responsible for lipid synthesis, such as fatty acid synthase and stearoyl-CoA desaturase-1, enhance lipid oxidation and thermogenesis, and prevent free fatty acids from entering adipocytes for lipogenesis. PUFA also exert suppressive effects on several key factors involved in adipocyte differentiation and fat storage. Despite their similar effects and shared mechanisms, they display differences in the regulation of lipid metabolism. Moreover, DHA and EPA exhibit “anti-obesity” effect as well as improving insulin sensitivity, while CLA induces insulin resistance and fatty liver in most cases. A deeper and more detailed investigation into the complex network of anti-obesity regulatory pathways by different PUFA will improve our understanding of the mechanisms of body weight control and reduce the prevalence of obesity.