Circulation of highly pathogenic avian influenza (HPAI) H5Nx viruses of the A/Goose/Guangdong/1/96 lineage in birds regularly causes infections of mammals, including humans. In many mammalian species, infections are associated with severe neurological disease, a unique feature of HPAI H5Nx viruses compared with other influenza A viruses. Here, we provide an overview of the neuropathogenesis of HPAI H5Nx virus infection in mammals, centered on three aspects: neuroinvasion, neurotropism, and neurovirulence. We focus on in vitro studies, as well as studies on naturally or experimentally infected mammals. Additionally, we discuss the contribution of viral factors to the neuropathogenesis of HPAI H5Nx virus infections and the efficacy of intervention strategies to prevent neuroinvasion or the development of neurological disease.