Neurological involvement is relatively common in the majority of systemic autoimmune diseases and may lead to severe morbidity and mortality, if not promptly treated. Treatment options vary greatly, depending on the underlying systemic pathophysiology and the associated neurological symptoms. Selecting the appropriate therapeutic scheme is further complicated by the lack of definite therapeutic guidelines, the necessity to differentiate primary neurological syndromes from those related to the underlying systemic disease, and to sort out adverse neurological manifestations caused by immunosuppressants or the biological agents used to treat the primary disease. Immunotherapy is a sine qua non for treating most, if not all, neurological conditions presenting in the context of systemic autoimmunity. Specific agents include classical immune modulators such as corticosteroids, cyclophosphamide, intravenous immunoglobulin, and plasma exchange, as well as numerous biological therapies, for example antitumor necrosis factor agents and monoclonal antibodies that target various immune pathways such as B cells, cytokines, and co-stimulatory molecules. However, experience regarding the use of these agents in neurological complications of systemic diseases is mainly empirical or based on small uncontrolled studies and case series. The aim of this review is to present the state-of-the-art therapies applied in various neurological manifestations encountered in the context of systemic autoimmune diseases; evaluate all treatment options on the basis of existing guidelines; and compliment these data with our personal experience derived from a large number of patients.