Microglia have been recently shown to manifest a very interesting phenotypical heterogeneity across different regions in the mammalian central nervous system (CNS). However, the underlying mechanism and functional meaning of this phenomenon are currently unclear. Baseline diversities of adult microglia in their cell number, cellular and subcellular structures, molecular signature as well as relevant functions have been discovered. But recent transcriptomic studies using bulk RNAseq and single-cell RNAseq have produced conflicting results on region-specific signatures of microglia. It is highly speculative whether such spatial heterogeneity contributes to varying sensitivities of individual microglia to the same physiological and pathological signals in different CNS regions, and hence underlie their functional relevance for CNS disease development. This review aims to thoroughly summarize up-to-date knowledge on this specific topic and provide some insights on the potential underlying mechanisms, starting from microgliogenesis. Understanding regional heterogeneity of microglia in the context of their diverse neighboring neurons and other glia may provide an important clue for future development of innovative therapies for neuropsychiatric disorders.