It is now accepted that there are complex interactions among the central nervous system, the endocrine system, and the immune system. Although the mechanisms of this bi-directional communication is not yet fully understood, studies in the field of psychoneuroimmunology (PNI) have shown that stress, through the hypothalamic-pituitary-adrenal (HPA) and the sympathetic-adrenal medullary (SAM) axes, can induce modulation of the immune system. In this review, we discuss human studies and animal models, which focus on psychological stress and its effects on the immune defense against infectious agents, emphasizing the implications of these effects on health.