As the important signaling molecules, cytokines, peptide hormones, neurotransmitters and steroids, seem to play a pivotal role in serving cell-to-cell communication between the immune and neuro-endocrine systems. The study of the action and mechanism of signaling molecules has become a hot topic in neuroimmunomodulation due to the diversity of functions that are mediated by these molecules. It is supposed that the diversity of responses reflects multiple sites of action or involvement of different receptor subtypes, or both. Researches from our lab and other labs have given amounting evidence about this opinion. We have found that there are at least two distinct domains in the cytokines, interleukin-2 and interferon-α, that interact with different receptors to induce various reactions. Moreover, steroids also have the similar phenomena. Glucocorticoids can exert their rapid effects on neuroendocrine cells and some immune cells (mast cells, macrophages and neutrophil) by non-genomic action, which is far different from classical genomic mechanism. Besides the cytokines and steroids, other signal molecules, such as polypeptides, acetylcholine and serotonin, also exert multiple effects through different receptor mechanisms, which mediates the communication between the immune and the neuroendocrine systems. This paper aims at reviewing the research results of our group and addressing to some other related published literature, which includes interleukin-2 and interferon-α, glucocorticoids and estrogen, and neuropeptides. Generally, from this review, we can conclude that there exist multiple mechanisms for the diverse functions of signaling molecules mediating communication between the immune and neuro-endocrine systems.