Oligodendrocytes (OLs) are the myelinating cells of the central nervous system (CNS), which are derived from OL precursor cells. Myelin insulates axons allowing the saltatory conduction of action potentials and also provides trophic and metabolic supports to axons. Interestingly, oligodendroglial cells have the capacity to sense neuronal activity, which regulates myelin sheath formation via the vesicular release of neurotransmitters. Neuronal activity-dependent regulation of myelination is mediated by specialized interaction between axons and oligodendroglia, involving both synaptic and extra-synaptic modes of communications. The zebrafish has provided key advantages for the study of the myelination process in the CNS. External development and transparent larval stages of this vertebrate specie combined with the existence of several transgenic reporter lines provided key advances in oligodendroglial cell biology, axo-glial interactions and CNS myelination. In this publication, we reviewed and discussed the most recent knowledge on OL development and myelin formation, with a focus on mechanisms regulating these fundamental biological processes in the zebrafish. Especially, we highlighted the critical function of axons and oligodendroglia modes of communications and calcium signaling in myelin sheath formation and growth. Finally, we reviewed the relevance of these knowledge's in demyelinating diseases and drug discovery of pharmacological compounds favoring myelin regeneration.