Host innate immunity plays a central role in detecting and eliminating microbial pathogenic infections in both vertebrate and invertebrate animals. Entomopathogenic or insect pathogenic nematodes are of particular importance for the control of insect pests and vectors of pathogens, while insect-borne nematodes cause serious diseases in humans. Recent work has begun to use the power of insect models to investigate host nematode interactions and uncover host antiparasitic immune reactions. This review describes recent findings on innate immune evasion strategies of parasitic nematodes and host cellular and humoral responses to the infection. Such information can be used to model diseases caused by human parasitic nematodes and provide clues indicating directions for research into the interplay between vector insects and their invading tropical parasites.