Enduring sex differences in the brain are established during a developmental process known as brain sexual differentiation and are mainly driven by estrogens during a critical period. In rodents, the masculinization of the preoptic area by estrogens derived from the central aromatization of testosterone depends in part on the interaction between microglia and prostaglandin E2 (PGE2), a pro-inflammatory hormone of the prostanoid subclass. In contrast, in birds, estrogens produced by females induce a demasculinization, but whether an interaction with the neuro-immune system is involved in this process is unknown. This study addressed this question by testing the effects of blockade of cyclo‑oxygenases (COX), the rate-limiting enzymes for prostanoid synthesis, on embryonic microglia and the sexual differentiation of brain and behavior using the Japanese quail as an animal model. The results show that COX inhibition does not affect the behavior of females, but impairs male sexual behavior and suppresses the sex difference in microglial profiles at embryonic day 12 (E12) in the medial preoptic nucleus by increasing the number of microglia in males only. However, neither prostanoid concentrations nor PGE2 receptors differed between sexes in the hypothalamus and preoptic area (HPOA) during development. Overall, these results uncovered a potential role of prostanoids in the demasculinization of Japanese quail. Moreover, the parallel effect of COX inhibition on behavior and microglia suggests an interaction between prostanoids and microglia in brain demasculinization, thus fueling the hypothesis of a conserved role of the neuroimmune system in the organization of the brain by estrogens.