Microglia are emerging as a key cell type in neurodegenerative diseases, yet human microglia are challenging to study in vitro, especially in the large numbers of individuals needed for genetic studies. Here we demonstrate the effectiveness of an in vitro model system of human monocyte-derived microglia-like cells (MDMi) to recapitulate many aspects of microglia phenotype and function. We then used this model system to perform an expression quantitative trait locus (eQTL) study examining 94 genes from loci associated with Alzheimer’s disease, Parkinson’s disease and multiple sclerosis in 94 healthy individuals. We found six loci (CD33, PILRB, NUP160, LRRK2, RGS1, METTL21B) in which the risk haplotype drives the association with both disease susceptibility and altered expression of a nearby gene (cis-eQTL). In the PILRB and LRRK2 loci, the cis-eQTL is found in the MDMi cells but not in peripheral monocytes, suggesting that differentiation leads to the acquisition of a cellular state, which uncovers the functional consequence of certain genetic variants. We further validated the effect of risk haplotypes at the protein level for PILRB and CD33, and we confirmed that the CD33 risk haplotype alters a functional outcome, phagocytosis, in MDMi. Finally, we hypothesize that the MDMi-specific increased LRRK2 gene expression could be the key functional outcome of the GWAS Parkinson’s disease LRKK2 SNP, rs76904798.