Psychoneuroimmunology is the newly evolved science that describes the interaction between mind and body, mediated by reciprocal communications among the nervous, endocrine, and immune systems. This paper reviews the interrelationship between chronic psychological stress and cellular immunity during the progression of cancer. The immune system possesses the specialized defense mechanisms where an extensive network of immune cells exists through their cytokine milieu, which in turn can get highly affected by psychological stress. Under stressful conditions, the body increases the production of glucocorticoids via hypothalamic pituitary adrenal (HPA) axis. Glucocorticoids (GCs) suppress the cell mediated immunity (CMI) by reducing the production of cytokines and other effector molecules through the inhibition of transcription factors responsible for cytokine gene expression, mediated by glucocorticoid receptor. GCs inhibit the activities of natural killer (NK) cells, cytotoxic T lymphocytes (CTL), T helper (Th) cells, natural killer T (NKT) cells, macrophages and dendritic cells which play a vital role in tumor suppression. Th1 cytokines which activate the NK cell, CTL and macrophages are also inhibited by GCs. GCs are able to alter the appearance of macrophages and dendritic cells, providing pro-tumor activities, and also able to inhibit the antigen presentation which causes dysfunction of the adaptive immune response against tumor. GCs have been shown to reduce the expression of perforin, granzymes, tumor necrosis factor (TNF)- α, interferon (IFN)- γ, Fas, TNF receptor activation induced ligand (TRAIL), and other effector molecules which have direct effects in tumor destruction. Additionally, glucocorticoids induce tolerogenic dendritic cells and stimulate the Treg cells to block the NK cell, CTL, NKT cell, and Th cell activity. Finally, it has been shown that chronic psychological stress exerts different immunomodulatory activities which facilitate the progression of cancer.