The role of sniffing relative to immune function has attracted considerable attention. The present study investigated the immunomodulatory effects of peanut oil odor on cyclophosphamide (CTX)-induced immunosuppressed mice. The subset of mice subjected to prolonged (8 h) sniffing peanut oil odor (PL) demonstrated significantly elevated levels of agouti-related peptide, neuropeptide Y, and glutamate (p < 0.05), whereas it significantly down-regulated the level of γ-aminobutyric acid in the brain (p < 0.05). Furthermore, immunohistochemistry results indicated significantly increased expression of mGluR1/5 and decreased expression of GABA_BR in the hippocampus and hypothalamus (p < 0.05) of the PL group. Additionally, the PL group had significantly up-regulated expression levels of cAMP, Epac, Rap1, ERK1/2 and PKA (p < 0.05) and remarkably increased phosphorylation of CREB in the cAMP signaling pathway (p < 0.05), which influenced the central nervous system. Moreover, compared with CTX-induced mice, the percentages of peripheral blood T lymphocytes (CD3⁺CD4⁺ and CD3⁺CD8⁺) and the levels of splenic cytokines (IL-2, IL-4, and TNF-α) were significantly increased following PL treatment (p < 0.05). The PL group also showed significantly up-regulated expression levels of cAMP, p-p65, and p-IκBα in the spleen (p < 0.05) by western blot analysis. In summary, PL intervention significantly up-regulated the expression levels of cAMP in the brain (p < 0.05), with subsequent transfer of cAMP to the spleen which promoted phosphorylation of p65 and IκBα. This series of events enhanced the immunity of mice, which confirmed the regulatory effect of PL on the cAMP signaling pathway, thereby enhancing immune function via the brain–spleen axis.