Alopecia is a dermatologic condition characterized by hair loss, including subtypes such as alopecia areata (AA), androgenetic alopecia (AGA), telogen effluvium (TE), and cicatricial alopecias. This disorder is increasingly recognized for its significant psychosocial impact and association with psychiatric comorbidities. The experience of hair loss can profoundly affect self-identity, body image, and social interactions, with growing evidence showing heightened rates of depression, anxiety disorders, social anxiety, and a lower quality of life among individuals with different types of alopecia. This review summarizes current evidence regarding the psychosocial effects of alopecia, the role of neuroendocrine mechanisms—particularly the dysregulation of the hypothalamic–pituitary–adrenal (HPA) axis—and the intricate relationships between stress, immune system activation, and hair follicle pathology. A thorough literature search was performed using PubMed, Scopus, and Web of Science databases, focusing on studies published from 2006 to 2026, prioritizing randomized controlled trials, cohort studies, casecontrol studies, systematic reviews, and meta-analyses. Recent studies indicate that patients with alopecia areata exhibit higher rates of depressive and anxiety disorders compared to the general population. This relationship seems to be partially influenced by immune activation, cytokine signaling, and stress-related dysregulation of the hypothalamic-pituitary-adrenal axis. Emerging therapeutic approaches, including Janus kinase inhibitors and structured psychodermatologic interventions, not only facilitate hair regrowth but are also linked to measurable improvements in qualityof-life metrics. These findings suggest that alopecia—especially alopecia areata—should be viewed as a stress-responsive inflammatory condition with significant psychiatric implications rather than merely a cosmetic issue.