Psychological stress can influence the immune system, which may result in stress-related illnesses. In this study, we investigated the effect of psychological stress and the coping skill on plasma cytokine levels. One hundred eighty-three students, at different stages of an academic year, participated in this study. Plasma tumor necrosis factor alpha (TNF-alpha), interleukin (IL)-2 soluble receptor alpha, and IL-4 were measured and examined in relation to the measures of anxiety [State Anxiety Inventory (SAI)] and Bell Adjustment Inventory (BAI) score. SAI scores were significantly higher in both midterm students (MTS) and examination-taking students (ETS), compared with the freshly admitted students (FAS). In addition, TNF-alpha levels were significantly different between the high- and the low-anxiety groups of ETS but not in MTS or FAS. The correlation between SAI scores and the BAI emotional scores was highest in the ETS group. TNF-alpha level was significantly lower in the ETS group with high anxiety scores, and it is situation specific.