Through behavior, animals interact with a world where parasites abound. It is easy to understand how behavioral traits can thus have a differential effect on pathogen exposure. Harder to understand is why we observe behavioral traits to be linked to immune defense traits. Is variation in immune traits a consequence of behavior-induced variation in immunological experiences? Or is variation in behavioral traits a function of immune capabilities? Is our immune system a much bigger driver of personality than anticipated? In this review, I provide examples of how behavioral and immune traits co-vary. I then explore the different routes linking behavioral and immune traits, emphasizing on the physiological/hormonal mechanisms that could lead to immune control of behavior. Finally, I discuss why we should aim at understanding more about the mechanisms connecting these phenotypic traits.