During the last two decades, research into the modulation of immunity by the neuroendocrine system has flourished, unravelling significant effects of several neuropeptides, including somatostatin (SRIH), and especially cortistatin (CST), on immune cells. Scientists have learnt that the diffuse neuroendocrine system can regulate the immune system at all its levels: innate immunity, adaptive immunity, and maintenance of immune tolerance. Compelling studies with animal models have demonstrated that some neuropeptides may be effective in treating inflammatory disorders, such as sepsis, and T helper 1-driven autoimmune diseases, like Crohn’s disease and rheumatoid arthritis. Here, the latest findings concerning the neuroendocrine control of the immune system are discussed, with emphasis on SRIH and CST. The second part of the review deals with the immune response to neuroendocrine tumors (NETs). The anti-NET immune response has been described in the last years and it is still being characterized, similarly to what is happening for several other types of cancer. In parallel with investigations addressing the mechanisms by which the immune system contrasts NET growth and spreading, ground-breaking clinical trials of dendritic cell vaccination as immunotherapy for metastatic NETs have shown in principle that the immune reaction to NETs can be exploited for treatment.