You can with a style, but you have to add it to the main Theme declaration.
<resources>
<!-- Base application theme. -->
<style name="Your.Theme" parent="@android:style/Theme.Holo">
<!-- Pointer to Overflow style ***MUST*** go here or it will not work -->
<item name="android:actionOverflowButtonStyle">@style/OverFlow</item>
</style>
<!-- Styles -->
<style name="OverFlow" parent="@android:style/Widget.Holo.ActionButton.Overflow">
<item name="android:src">@drawable/ic_action_overflow</item>
</style>
</resources>
You also can change it dynamically, which I go into detail about here:
@adneal's answer is correct (so this is just a community wiki explanation to expand on it).
One of the comments suggested that there may be misunderstanding how to do this, so my answer is just another example on how to override the Overflow icon image.
Code below is based on the template styles from the ADT sample New Android Project. The code comes from the styles.xml file in res/values folder.
<style name="AppBaseTheme" parent="android:Theme.Light">
<!--
Theme customizations available in newer API levels can go in
res/values-vXX/styles.xml, while customizations related to
backward-compatibility can go here.
-->
</style>
<!-- Application theme. -->
<style name="AppTheme" parent="AppBaseTheme">
<!-- All customizations that are NOT specific to a particular API-level can go here. -->
<item name="android:actionOverflowButtonStyle">@style/OverflowMenuButton</item>
</style>
<style name="OverflowMenuButton" parent="@android:style/Widget.Holo.ActionButton.Overflow">
<item name="android:src">@drawable/ic_menu_moreoverflow</item>
</style>
What this above code does is replace the default overflow icon with whatever drawable you have that is named ic_menu_moreoverflow. If you want a quick way to test it out, use your app's launcher icon filename, which will make it obvious how it works.
A useful resource to use when trying to understand ActionBar styling, is:
No matter what I tried to do in styles.xml, none of the solutions worked for me. In the end, if you have AppCompat 23+, which you should, this is the easiest way that actually works: