The immune system is a key element in the organism's defence system and participates in the maintenance of homeostasis. There is growing interest in the aetiopathogenic and prognostic implications of the immune system in mental disorders, as previous studies suggest the existence of a dysregulation of the immune response and a pro-inflammatory state in patients with mental disorders, as well as an increased prevalence of neuropsychiatric symptoms in patients suffering from autoimmune diseases or receiving immune treatments. This study aims to conduct a narrative review of the scientific literature on the role of Psychoneuroimmunology in mental disorders, with special focus on diagnostic, prognostic and therapeutic issues. The development of this body of knowledge may bring in the future important advances in the vulnerability, aetiopathogenic mechanisms, diagnosis and treatment of some mental disorders.