Stress can kill brain cells and inhibit their growth, a situation associated with sleep disorders a weakened immune system depression heart disease

Being under highly stressful situations or chronic (long term) stress has been linked to cell death in the brain, with one place being the hippocampus. The hippocampus is responsible for creating new brain cells throughout a person's life. It is also responsible for learning, memory and emotion. Chronic stress creates irreparable damage to the brain's structure and overall function. When these cells are killed or damaged, it has been found that this is linked into mood disorders (such as anxiety and depression) in later life. Being under chronic stress can also put the body into a constant cycle of "fight or flight" mode, which can cause a weakened immune system. 

The effects of stress have a real domino effect in the brain, and really I think that this can be linked to all of the above, but if I had to choose one, I would have to go with depression. This is because scientists have found that the hippocampus has the capability of actually shrinking when the brain has been under stress for a long time. I believe this is a primary (first) effect when it comes to brain cells being killed.