Many studies have established the routes by which the immune and central nervous (CNS) systems communicate. This network of connections permits the CNS to regulate the immune system through both neuroendocrine and neuronal pathways. In turn, the immune system signals the CNS through neuronal and humoral routes, via immune mediators and cytokines. This regulatory system between the immune system and CNS plays an important role in susceptibility and resistance to autoimmune, inflammatory, infectious and allergic diseases. This review focuses on the regulation of the immune system via the neuroendocrine system, and underlines the link between neuroendocrine dysregulation and development of major depressive disorders, autoimmune diseases and osteoporosis.