The links between the psychological and physiological features of cancer risk and progression have been studied through psychoneuroimmunology. The persistent activation of the hypothalamic-pituitary-adrenal (HPA) axis in the chronic stress response and in depression probably impairs the immune response and contributes to the development and progression of some types of cancer. Here, we overview the evidence that various cellular and molecular immunological factors are compromised in chronic stress and depression and discuss the clinical implications of these factors in the initiation and progression of cancer. The consecutive stages of the multistep immune reactions are either inhibited or enhanced as a result of previous or parallel stress experiences, depending on the type and intensity of the stressor and on the animal species, strain, sex, or age. In general, both stressors and depression are associated with the decreased cytotoxic T-cell and natural-killer-cell activities that affect processes such as immune surveillance of tumours, and with the events that modulate development and accumulation of somatic mutations and genomic instability. A better understanding of the bidirectional communication between the neuroendocrine and immune systems could contribute to new clinical and treatment strategies.