While immunity and psychological distress are strongly associated, studies seldom consider how different types of distress relate to immune functioning. The literature tends to emphasis the impact of stress on immunity. The present study estimated the unique contributions of stress, depression and anxiety on immune function in culturally diverse samples of adults from Italy, New Zealand and India. The participants were Italian (n = 1061), New Zealand (n = 1037), and Indian (n = 384) volunteers. Stepwise multiple linear regression and dominance analysis were used to analyse differences in immunity uniquely explained by anxiety, depression, and stress, with immune functioning defined by physical symptoms. While samples from the three countries differed significantly, anxiety consistently explained the greatest proportion of differences in immunity. After accounting for the effect of anxiety, stress and depression explained only small portion of variation in immune functioning, differing between countries. The association of anxiety with immune functioning was consistent across three different countries and the unique impact was further confirmed by the results of dominance analysis. These findings suggest a clear link between anxiety and immunity, when disentangling between distress types. This challenges the prevailing stress- disease model and calls for further research into the impact of anxiety on immunity. If future research supports a causal link where anxiety precedes immunity deficiency, interventions to reduce anxiety may improve immune functioning and health outcomes in the general population.