Over the past two decades, the use of tumor necrosis factor alpha (TNF-α) inhibitors has significantly improved the treatment of patients with immune-mediated inflammatory diseases. Firstly, introduced for rheumatoid arthritis, these inhibitors are currently approved and used for a variety of conditions, including ankylosing spondylitis, Crohn's disease, juvenile idiopathic arthritis, psoriasis, psoriatic arthritis, ulcerative colitis, and chronic uveitis. Despite their immense therapeutic efficacy, TNF-α inhibitors have been associated with neurological adverse effects that bring new clinical challenges. The present review collects data from multiple studies to evaluate the incidence and the relationship between TNF-α inhibitors and neurological side effects and to explore the potential underlying mechanisms of this association. Moreover, it highlights the importance of patient selection, particularly in the case of individuals with a history of demyelinating diseases, raises awareness for clinicians, and calls for ongoing research that will improve TNF-α targeting strategies and offer safer and more effective therapeutic options.