Pericytes, the mural cells surrounding microcirculation, are gaining increasing attention for their roles in health and disease of the central nervous system (CNS). As an essential part of the neurovascular unit (NVU), pericytes are actively engaged in interactions with neighboring cells and work in synergy with them to maintain homeostasis of the CNS, such as maintaining the blood-brain barrier (BBB), regulating cerebral blood flow (CBF) and the glymphatic system as well as mediating immune responses. However, the dysfunction of pericytes may contribute to the progression of various pathologies. In this review, we discuss: (1) origin of pericytes and different pericyte markers; (2) interactions of pericytes with endothelial cells (ECs), astrocytes, microglia, oligodendrocytes, and neurons; (3) physiological roles of pericytes in the CNS; (4) effects of pericytes in different CNS diseases; (5) relationship of pericytes with extracellular vesicles (EVs) and microRNAs (miRs); (6) recent advances in pericytes studies and future perspective.