Although there is little direct evidence supporting that stress affects cancer incidence, it does influence the evolution, dissemination and therapeutic outcomes of neoplasia, as shown in human epidemiological analyses and mouse models. The experience of and response to physiological and psychological stressors can trigger neurological and endocrine alterations, which subsequently influence malignant (stem) cells, stromal cells and immune cells in the tumour microenvironment, as well as systemic factors in the tumour macroenvironment. Importantly, stress-induced neuroendocrine changes that can regulate immune responses have been gradually uncovered. Numerous stress-associated immunomodulatory molecules (SAIMs) can reshape natural or therapy-induced antitumour responses by engaging their corresponding receptors on immune cells. Moreover, stress can cause systemic or local metabolic reprogramming and change the composition of the gastrointestinal microbiota which can indirectly modulate antitumour immunity. Here, we explore the complex circuitries that link stress to perturbations in the cancer-immune dialogue and their implications for therapeutic approaches to cancer.