Attention-deficit/hyperactivity disorder (ADHD) is a prevalent and serious neurodevelopmental disorder characterized by symptoms of inattention and/or hyperactivity/impulsivity. Chronic and childhood stress is involved in ADHD development, and ADHD is highly comorbid with anxiety. Similarly, inflammatory diseases and a pro-inflammatory state have been associated with ADHD. However, while several works have studied the relationship between peripheral inflammation and stress in affective disorders such as depression or bipolar disorder, fewer have explored this association in ADHD. In this narrative review we synthetize evidence showing an interplay between stress, anxiety, and immune dysregulation in ADHD, and we discuss the implications of a potential disrupted neuroendocrine stress response in ADHD. Moreover, we highlight confounding factors and limitations of existing studies on this topic and critically debate multidirectional hypotheses that either suggest inflammation, stress, or anxiety as a cause in ADHD pathophysiology or inflammation as a consequence of this disease. Untangling these relationships will have diagnostic, therapeutic and prognostic implications for ADHD patients.