Heart failure (HF) is characterized by autonomic nervous system (ANS) imbalance and low-grade chronic inflammation. The bidirectional relationship between the ANS and immune system (IS) is named "neuroimmune cross-talk" (NICT), and is based on common signaling molecules, receptors, and pathways. NICT may be altered in HF, and neuroinflammation seems to be a main driver of HF progression. In HF, heightened sympathetic nerve activity triggers inflammatory cascades that lead to cardiomyocyte death and myocardial interstitial fibrosis. Concurrently, parasympathetic withdrawal may impair the cholinergic anti-inflammatory pathway, with a less effective immune response to infections or inflammatory events. Additionally, microglial activation and inflammatory molecules contribute to autonomic imbalance by acting on central nuclei and peripheral visceral feedbacks, which in turn promote adverse cardiac remodeling, HF decompensation, and potentially life-threatening arrhythmias. Therefore, neuroinflammation has been identified as a potential target for treatment. Pharmacological antagonism of the neurohormonal system remains the cornerstone of chronic HF therapy. While some drugs used in HF management may have additional benefits due to their anti-inflammatory properties, clinical trials targeting inflammation in patients with HF have so far produced inconclusive results. Nevertheless, considering the pathophysiological relevance of NICT, its modulation seems an appealing strategy to optimize HF management. Current research is therefore investigating novel pharmacological targets for anti-inflammatory drugs, and the immunomodulatory properties of denervation approaches and bioelectronic medicine devices targeting NICT and neuroinflammation in HF. A deeper understanding of the complex relationship between the ANS and IS, as outlined in this review, could therefore facilitate the design of future studies aimed at improving outcomes by targeting NICT in patients with HF.