The immune system plays a role in the progression of coronary artery diseases and its clinical manifestations as acute coronary syndromes. It is well established that psychological factors can act as risk factors for acute coronary syndromes. This review describes psychoneuroimmunological pathways involved in coronary disease progression and documents that the stage of coronary disease is a major determinant of pathophysiological mechanisms accounting for the association between psychological risk factors, immune system parameters, and acute coronary syndromes. Chronic psychological risk factors (e.g., hostility and low socioeconomic status) are important at early disease stages, episodic factors (e.g., depression and exhaustion) are involved in the transition from stable to unstable atherosclerotic plaques, and acute psychological triggers (e.g., mental stress and anger) can promote myocardial ischemia and plaque rupture. The psychoneuroimmunological pathways are described for each of these three types of psychological risk factors for acute coronary syndromes.