Although necessary to eliminate pathogens, inflammation can lead to serious deleterious effects in the host if left unchecked. During the inflammatory response, further damage may arise from potential autoimmune responses occurring when the immune cells and molecules that respond to pathogen-derived antigens also react to self-antigens. In this sense, the identification of endogenous factors that control exacerbated immune responses is a key goal for the development of new therapeutic approaches for inflammatory and autoimmune diseases. Some neuropeptides that are produced during the ongoing inflammatory response have emerged as endogenous anti-inflammatory agents that could collaborate in tuning the balanced steady state of the immune system. These neuropeptides participate in maintaining immune tolerance through two distinct mechanisms: by regulating the balance between pro-inflammatory and anti-inflammatory factors, and by inducing the emergence of regulatory T cells with suppressive activity against autoreactive T cell effectors. Indeed, a functioning neuropeptide system contributes to general health, and alterations in the levels of these neuropeptides and/or their receptors lead to changes in susceptibility to inflammatory and autoimmune diseases. Recently, we found that some neuropeptides also have antimicrobial and antiparasitic actions, suggesting that they could act as primary mediators of innate defense, even in the most primitive organisms. In this review, we use the vasoactive intestinal peptide as example of an immunomodulatory neuropeptide to summarize the most relevant data found for other neuropeptides with similar characteristics, including adrenomedullin, urocortin, cortistatin and ghrelin.