Stress, which inevitably occurs in the life of any person, affects various aspects of the functioning of the body and psyche. The purpose of the work is to summarize the results of review and empirical studies of the relationship between stress factors and changes in the activity of the immune system, affecting the patient’s choice of coping strategies and attitude to treatment. The impact of a stressor on the organs of the immune system occurs through activation of the autonomic nervous system and the hypothalamic-pituitary-adrenal axis and is accompanied by changes in the concentration of cytokines, the severity of cellular and humoral immunity. Short-term stressors significantly change the activity of the immune system by reducing the synthesis of Th1-type cytokines, reduce the severity of cellular immunity, but enhance humoral immunity. Chronic stressors have a negative impact on almost all functional indicators of the immune system. The results of the review indicate a close connection between coping behavior in a stressful situation and the activity of the immune system. The review examines the influence of family and man-made stressors on the activity of the immune system, the action of which leads to the formation of pro-inflammatory readiness of the body and an increase in the patient’s perception of pain, which increases the risk of developing rheumatological diseases under stressful living conditions. Isolated or lonely people are at greater risk of various inflammatory diseases and exhibit stronger inflammatory responses, leading to an increased risk of developing depressive symptoms. Turning to the construct of “coping intelligence” as a resource for preventive and personalized medicine allows us to describe two scenarios for changes in the immune system and the corresponding behavior of the patient and his attitude to treatment: (1) increased inflammation and increased vulnerability or (2) decreased inflammation and increased resistance to stress. Adaptive coping behavior allows people to effectively deal with stress, ensuring a person’s immunological stability by increasing the population of T helper cells and natural killer cells, thereby reducing the risk of developing rheumatological diseases.