Zika virus (ZIKV) can be transmitted by the mosquito bite, through blood transfusion, organ transplantation and potentially urine or saliva. From its inoculation site, the virus will spread to various organs such as the central nervous system leading to neurological complications, particularly Guillain–Barré syndrome, or the fetus causing microcephaly. During the infection, ZIKV will have to cross multiple barriers according to the route of transmission and the infection site such as the skin, male and female genital mucosa or blood–brain and placental barriers. At these sites, ZIKV will establish an infection that the innate immune response will try to block before systemic spread occurs to the target organs. The aim of this review is to summarize the knowledge on the mechanisms of anti-ZIKV innate immunity, its characteristics at the different barriers encountered and tissues infected during the infection, and on the escape mechanisms developed by the virus to deal with it.