Cytokines, peptide hormones and neurotransmitters, as well as their receptors/ligands, are endogenous to the brain, endocrine and immune systems. These shared ligands and receptors are used as a common chemical language for communication within and between the immune and neuroendocrine systems. Such communication suggests an immunoregulatory role for the brain and a sensory function for the immune system. Interplay between the immune, nervous and endocrine systems is most commonly associated with the pronounced effects of stress on immunity. The hypothalamic-pituitary-adrenal (HPA) axis is the key player in stress responses; it is well established that both external and internal stressors activate the HPA axis. Cytokines are chemical messengers that stimulate the HPA axis when the body is under stress or experiencing an infection. This review discusses current knowledge of cytokine signaling pathways in neuro-immune-endocrine interactions as viewed through the triplet HPA axis. In addition, we elaborate on HPA/cytokine interactions in oxidative stress within the context of nuclear factor-kappaB transcriptional regulation and the role of oxidative markers and related gaseous transmitters.