We approach the field of stress immunology from an ecological point of view and ask: why should a heavy physical workload, for example as a result of a high reproductive effort, compromise immune function? We argue that immunosuppression by neuroendocrine mechanisms, such as stress hormones, during heavy physical workload is adaptive, and consider two different ultimate explanations of such immunosuppression. First, several authors have suggested that the immune system is suppressed to reallocate resources to other metabolic demands. In our view, this hypothesis assumes that considerable amounts of energy or nutrients can be saved by suppressing the immune system; however, this assumption requires further investigation. Second, we suggest an alternative explanation based on the idea that the immune system is tightly regulated by neuroendocrine mechanisms to avoid hyperactivation and ensuing autoimmune responses. We hypothesize that the risk of autoimmune responses increases during heavy physical workload and that the immune system is suppressed to counteract this.