We know from pop science that our psychological states have an effect on our immune systems ("worrying ourselves sick", etc.), but what are the actual mechanisms through which our nervous systems pass information to the immune system?
Cell mediators come to mind, but where in the body would a nerve cell release an interleukin or other factor? (Put another way, are neurons releasing these factors as a part of their normal cell metabolism and the side effect is a communicative effect with the immune system?)
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.
Here's pretty much the first thing that popped up on pubmed:http://www.ncbi.nlm.nih.gov/pmc/articles/PMC3144148/
So clearly there are direct neurotransmitter receptors on immune cells themselves. Pick a favorite neurotransmitters and search "xyz and the immune system".
However, I can't tell you how relevant that is in terms of actually affecting large scale shifts in immune function. I think the previous poster Alexander Galkin had it right in that the nervous system affects hormones which have the ability to coordinate large scale, complex immune system shifts. It's like the president calling the generals to organize some troop movement and how many troops to deploy, what their targets are, etc.
I just wanted to add that tidbit that our "soldiers" do in fact carry cell phones. If the president wanted to, he could call the troops personally.