Cancer is one of the most lethal and burdensome diseases worldwide. Its progression not only causes irreversible damage to the body, but also imposes a substantial psychological burden on patients due to its complex prognosis. Immune imbalance, a hallmark of the tumor microenvironment (TME), accelerates tumor invasion and metastasis by impairing the function of effector immune cells, promoting the abnormal infiltration of immunosuppressive cells, and disrupting cytokine homeostasis, thereby constituting a major barrier to the efficacy of cancer immunotherapy. Compared with conventional chemotherapy and radiotherapy, aerobic exercise has shown considerable potential in antagonizing tumor progression through relatively mild but effective immunomodulatory mechanisms. On the one hand, regular aerobic exercise enhances the number and activity of key effector immune cells, such as CD8⁺ T cells, thereby strengthening their ability to recognize and eliminate tumor cells and alleviate immune imbalance. On the other hand, aerobic exercise promotes tumor vascular normalization, improves vascular maturity, and stimulates the secretion of irisin and other anti-inflammatory myokines, thereby remodeling the TME and relieving its immunosuppressive state to delay tumor progression. However, psychological stress following a cancer diagnosis can not only act as an independent disruptive factor that exacerbates immune imbalance within the TME, but also amplify the effects of other detrimental factors, such as reduced treatment adherence, thereby further weakening the antagonistic effect of aerobic exercise on tumor growth. Psychological stress, as a chronic stressor, promotes the excessive secretion of emotion-related hormones, including glucocorticoids (GCs) and norepinephrine (NE), which further suppress the activation and effector functions of antitumor immune cells such as CD8⁺ T cells and natural killer (NK) cells, while facilitating the recruitment of protumor immune cells such as regulatory T cells (Tregs). These changes ultimately disrupt immune homeostasis in the TME, promote tumor immune evasion, accelerate tumor invasion and metastasis, and offset the beneficial effects of aerobic exercise on tumor control. In addition, psychological stress induces hyperactivation of the hypothalamic-pituitary-adrenal (HPA) axis and abnormal excitation of the sympathetic nervous system (SNS), thereby maintaining elevated levels of GCs, NE, and related stress hormones, suppressing inflammatory chemokine expression and immune cell recruitment, and further disturbing immune homeostasis in the TME, which accelerates tumor progression. More importantly, prolonged psychological stress can also disrupt the homeostasis of central neurotransmitters, such as 5-hydroxytryptamine (5-HT) and glutamate (Glu). This not only directly inhibits the activation and effector functions of antitumor immune cells and promotes the establishment of an immunosuppressive microenvironment, but also impairs cellular energy metabolism and continuously provides energy for tumor cells through metabolic reprogramming, thereby sustaining rapid tumor growth and adaptation to a hostile TME. Ultimately, these alterations contribute to the dysregulation of “neuro-endocrine-immune” axis and weaken the protective effect of aerobic exercise against tumor progression. Therefore, this review focuses on the interaction between psychological stress and the “neuro-endocrine-immune” axis, with particular emphasis on the mechanisms by which psychological stress induces immune imbalance and weakens the antagonistic effect of aerobic exercise on tumor progression. We further highlight the important role of psychological stress in tumor progression and propose that combining psychotropic interventions, aerobic exercise, and clinical antitumor immunotherapy may help restore the tumor-killing capacity of the immune system. Such a multimodal strategy may exert synergistic effects at multiple levels, including psychological stress relief, neuroendocrine regulation, and reconstruction of immune homeostasis, thereby providing new perspectives for identifying therapeutic targets in solid tumors, enhancing the efficacy of cancer immunotherapy, and improving patient prognosis.