Brain-derived neurotrophic factor (BDNF) is a neurotrophin regulating synaptic plasticity, neuronal excitability, and nociception. It seems to be one of the key molecules in interactions between the central nervous system and immune-related diseases, i.e., diseases with an inflammatory background of unknown etiology, such as inflammatory bowel diseases or rheumatoid arthritis. Studies show that BDNF levels might change in the tissues and serum of patients during the course of these conditions, e.g., affecting cell survival and modulating pain severity and signaling pathways involving different neurotransmitters. Immune-related conditions often feature psychiatric comorbidities, such as sleep disorders (e.g., insomnia) and symptoms of depression/anxiety; BDNF may be related as well to them as it seems to exert an influence on sleep structure; studies also show that patients with psychiatric disorders have decreased BDNF levels, which increase after treatment. BDNF also has a vital role in nociception, particularly in chronic pain, hyperalgesia, and allodynia, participating in the formation of central hypersensitization. In this review, we summarize the current knowledge on BDNF’s function in immune-related diseases, sleep, and pain. We also discuss how BDNF is affected by treatment and what consequences these changes might have beyond the nervous system.