It is known today that the immune system is influenced by various types of psychological and physiological stressors, including physical activity. It is well known that physical activity can influence neuropeptide levels both in the central nervous system as well as in peripheral blood. The reported changes of immune function in response to exercise have been suggested to be partly regulated by the activation of different neuropeptides and the identification of receptors for neuropeptides and steroid hormones on cells of the immune system has created a new dimension in this endocrine-immune interaction. It has also been shown that immune cells are capable of producing neuropeptides, creating a bidirectional link between the nervous and immune systems. The most common neuropeptides mentioned in this context are the endogenous opioids. The activation of endogenous opioid peptides in response to physical exercise is well known in the literature, as well as the immunomodulation mediated by opioid peptides. The role of endogenous opioids in the exercise-induced modulation of immune function is less clear. The present paper will also discuss the role of other neuroendocrine factors, such as substance P, neuropeptide Y and vasoactive intestinal peptide, and pituitary hormones, including growth hormone, prolactin and adrenocorticotrophin, in exercise and their possible effects on immune function.