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&NA; Multidirectional interactions among the immune, endocrine, and nervous systems have been demonstrated in humans and non‐human animal models for many decades by the biomedical community, but ecological and evolutionary perspectives are lacking. Neuroendocrine‐immune interactions can be conceptualized using a series of feedback loops, which culminate into distinct neuroendocrine‐immune phenotypes. Behavior can exert profound influences on these phenotypes, which can in turn reciprocally modulate behavior. For example, the behavioral aspects of reproduction, including courtship, aggression, mate selection and parental behaviors can impinge upon neuroendocrine‐immune interactions. One classic example is the immunocompetence handicap hypothesis (ICHH), which proposes that steroid hormones act as mediators of traits important for female choice while suppressing the immune system. Reciprocally, neuroendocrine‐immune pathways can promote the development of altered behavioral states, such as sickness behavior. Understanding the energetic signals that mediate neuroendocrine‐immune crosstalk is an active area of research. Although the field of psychoneuroimmunology (PNI) has begun to explore this crosstalk from a biomedical standpoint, the neuroendocrine‐immune‐behavior nexus has been relatively underappreciated in comparative species. The field of ecoimmunology, while traditionally emphasizing the study of non‐model systems from an ecological evolutionary perspective, often under natural conditions, has focused less on the physiological mechanisms underlying behavioral responses. This review summarizes neuroendocrine‐immune interactions using a comparative framework to understand the ecological and evolutionary forces that shape these complex physiological interactions. HighlightsNeuroendocrine‐immune (NEI) interactions can be viewed as circuits and phenotypes.Behavior can impinge upon NEI interactions and vice versa.Studies are reviewed that reveal a comparative framework to NEI interactions.