Psychoneuroimmunology is a growing scientific field which deals with the mutual interplay between nervous and immune systems. In this framework, many data have demonstrated that cytokines (CKs) derived from the periphery are able to cross the blood brain barrier and act upon the central nervous system (CNS) [e.g., the hypothalamic-pituitary-adrenal axis (HPAA)], thus regulating several physiological functions (thermoregulation, sleep, appetite) or damaging the nervous tissue, when released in exaggerated amounts. On the other hand, nervous cells, such as astrocytes and microglial cells also generate proinflammatory CKs which may be detrimental for the CNS. The neuromodulating CK network can be triggered by microorganisms and/or their products (i.e. bacterial endotoxins), but also stressful life events may activate the HPAA, thus affecting the immune system function. This review will place emphasis on some clinical conditions, such as phobia and migraine without aura (MWA), characterized by anxiety disorders. Patients affected by these neuropsychiatric alterations exhibit multiple functional deficits of phagocytes and T lymphocytes which allow penetration of various pathogens into the host. This is also supported by the detection of circulating bacterial endotoxins and the evidence of both spontaneous and induced exaggerated release of proinflammatory CKs in phobic and MWA patients. The possible iatrogenic effects of benzodiazepines (BDZ) on the immune system have been evaluated by in vitro and in vivo studies. In this respect, it emerges that diazepam exerts an inhibitory function on the immune system, while alprazolam behaves as an immunoenhancer. The presence of central and/or peripheral BDZ receptors on immune cells seems to be the key mechanism responsible for the immunomodulation exerted by these drugs.