In the last decades, psychoneuroendocrineimmunology research has made relevant contributions to the fields of neuroscience, psychobiology, epigenetics, molecular biology, and clinical research by studying the effect of stress on human health and highlighting the close interrelations between psyche, brain, and bodily systems. It is now well recognized that chronic stress can alter the physiological cross‐talk between brain and biological systems, leading to long‐lasting maladaptive effects (allostatic overload) on the nervous, immune, endocrine, and metabolic systems, which compromises stress resiliency and health. Stressful conditions in early life have been associated with profound alterations in cortical and subcortical brain regions involved in emotion regulation and the salience network, showing relevant overlap with different psychiatric conditions. This paper provides a summary of the available literature concerning the notable effects of stress on the brain and immune system. We highlight the role of epigenetics as a mechanistic pathway mediating the influences of the social and physical environment on brain structure and connectivity, the immune system, and psycho‐physical health in psychiatric diseases. We also summarize the evidence regarding the effects of stress management techniques (mainly psychotherapy and meditation practice) on clinical outcomes, brain neurocircuitry, and immune‐inflammatory network in major psychiatric diseases.