It is not only the immune system that prevents us from getting ill. Worrying much in my opinion won't make you catch a cold; rather, you can get problems with your cardiovascular system (arrhythmias, hypertension, angina pectoris) or limbic system (panic attacks, sweating attacks etc.).
The connections are many; here are some possible ones:
There are many glands in our body that are either densely innervated (like the thyroid gland) or are a part of nervous system (like pituitary gland, epiphysis). They can release hormones directly to our blood and make our hormone profile unstable, hence also impacting the immune system.
Sympathetic/parasympathetic nervous system is under direct control of the CNS (N.vagus, carotide sinus sinus etc.) and can dramatically change the peripheral resistance of our vascular system by constricting (=> angina pectoris, hypertension) or dilating (swellings, bowel movements problems -> constipations etc.) the small vessel. This alone can start so many different mechanisms resulting not only in being ill, but also being dead.
Speaking about connection between the nervous and immune system we must consider that:
- Many neuromediators, like adrenaline, for example, have clear effects on immune cells.
- The mediators and humoral factors released by nerve endings can easily diffuse outside of the synaptic cleft and act locally, attenuating immune response.