There is growing evidence that stress-induced brain cytokines are important in the etiology of depression and anxiety. Here, we review how the neuroendocrine responses to psychological stressors affect the immediate and long-term regulation of inflammatory cytokines within the brain and highlight how the regulation changes across time with repeated stress exposure. In doing so, we report on the percentage of studies in the literature that observed increases in either IL-1
β
, TNF-
α
, or IL-6 within the hypothalamus, hippocampus, or prefrontal cortex after either acute or chronic stress exposure. The key takeaway is that catecholamines and glucocorticoids play critical roles in the regulation of brain cytokines after psychological stress exposure. Central catecholamines stimulate the release of IL-1
β
from microglia, which is a key factor in the further activation of microglia and recruitment of monocytes into the brain. Meanwhile, the acute elevation of glucocorticoids inhibits the production of brain cytokines via two mechanisms: the suppression of noradrenergic locus coeruleus neurons and inhibition of the NF
κ
B signaling pathway. However, glucocorticoids and peripheral catecholamines facilitate inflammatory responses to future stimuli by stimulating monocytes to leave the bone marrow, downregulating inhibitory receptors on microglia, and priming inflammatory responses mediated by peripheral monocytes or macrophages. The activation of microglia and the elevation of peripheral glucocorticoid and catecholamine levels are both necessary during times of stress exposure for the development of psychopathologies.