The main objective of this research was to carry out an experimental study, triple-blind, on the possible immunophysiological effects of a nutritional supplement (synbiotic, Gasteel Plus®, Heel España S.A.U.), containing a mixture of probiotic strains, such as Bifidobacterium lactis CBP-001010, Lactobacillus rhamnosus CNCM I-4036, and Bifidobacterium longum ES1, as well as the prebiotic fructooligosaccharides, on both professional athletes and sedentary people. The effects on some inflammatory/immune (IL-1β, IL-10, and immunoglobulin A) and stress (epinephrine, norepinephrine, dopamine, serotonin, corticotropin-releasing hormone (CRH), Adrenocorticotropic hormone (ACTH), and cortisol) biomarkers were evaluated, determined by flow cytometer and ELISA. The effects on metabolic profile and physical activity, as well as on various parameters that could affect physical and mental health, were also evaluated via the use of accelerometry and validated questionnaires. The participants were professional soccer players in the Second Division B of the Spanish League and sedentary students of the same sex and age range. Both study groups were randomly divided into two groups: a control group—administered with placebo, and an experimental group—administered with the synbiotic. Each participant was evaluated at baseline, as well as after the intervention, which lasted one month. Only in the athlete group did the synbiotic intervention clearly improve objective physical activity and sleep quality, as well as perceived general health, stress, and anxiety levels. Furthermore, the synbiotic induced an immunophysiological bioregulatory effect, depending on the basal situation of each experimental group, particularly in the systemic levels of IL-1β (increased significantly only in the sedentary group), CRH (decreased significantly only in the sedentary group), and dopamine (increased significantly only in the athlete group). There were no significant differences between groups in the levels of immunoglobulin A or in the metabolic profile as a result of the intervention. It is concluded that synbiotic nutritional supplements can improve anxiety, stress, and sleep quality, particularly in sportspeople, which appears to be linked to an improved immuno-neuroendocrine response in which IL-1β, CRH, and dopamine are clearly involved.