How is stress related to the immune system and physical illness?

Crazyrunner9 asked:

I have been feeling a little stressed lately and was feeling kind of weak during my workouts. If I understand what is happening inside then I might be able to balance everything out. My older sister said it has to do with the immune system and physical illness. She said that some immune system cells get affected by stress. Is that true and why only some? (sorry for two questions in one)
When I say working out, I mean mostly just running hence the name crazyrunner9. Also I was looking for more of a scientific answer.

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