Stress responses can impact bladder cancer (BC) outcomes via immune–inflammatory pathway modulation. This study explores heart rate variability (HRV) associations with serum immune–inflammatory biomarkers, blood count inflammatory markers, and psychosocial self-report measures in patients versus healthy controls. The TREM-1 and TREM-2 expressions on peripheral blood monocytes were analysed via flow cytometry; serum inflammatory biomarkers by ELISA; HRV (5-min ECG) pre-tumour resection; blood counts by haematology analyser; and psychosocial factors by validated questionnaires. Patients exhibited altered immune–inflammatory profiles with increased TREM-1/TREM-2, sTREM-1, sTREM-1/sTREM-2 ratio, BDNF, MCP-1, and NLR, and reduced IFN-γ, IL-10, LMR, and PMR. HRV analysis indicated sympathetic dominance (SNS, Stress indices, ACmod) and reduced parasympathetic modulation (PNS index, SDNN, RMSSD, 2UV%, DCmod, SD1). Sympathetic HRV indices correlated positively with sTREM-1, sTREM-1/sTREM-2 ratio, fractalkine, and inflammatory markers (SII, NLR, PLR) and negatively with parasympathetic HRV indices—correlations absent in controls. Only in patients, reduced physical function and social support, and higher anxiety, depression, and fatigue, associated positively with sympathetic HRV indices and inflammatory markers. This study links immune–inflammatory markers, HRV parameters, and psychosocial factors in BC, suggesting that immune and autonomic variations may relate to unfavourable outcomes. Incorporating these assessments could help tailor more personalised treatment strategies for BC patients.