Thoughts clearly have an effect on your body. But maybe not thoughts themselves, but rather moods and emotions that thoughts are capable of inducing which in turn can have physiological effects on different body systems.
Ruminative response to negative mood and other depressive symptoms are thoughts and behaviors that repetitively focus the individual's attention on his or her negative feelings and the nature and implications of those feelings. Although many people feel compelled to ruminate about themselves and their problems when experiencing dysphoria and depression, converging empirical evidence suggests that such a coping style is associated with numerous deleterious outcomes.
Negative emotions such as anger, fear, anxiety, even sadness and crying, arouse people's autonomic nervous systems, producing increases in heart rate, vasoconstriction, and blood pressure, as well as other changes.
On the other hand, positive thinking will often produce positive emotions which can be beneficial to your body.
Positive emotions, positive moods, and positive sentiments carry multiple, inter-related benefits. <...> Second, good feelings alter people's bodily systems. Experiments have shown that induced positive affect, not only speeds the recovery from cardiovascular accidents following the effects of a negative effect, but also alters frontal brain asymmetry, and increases immune function. Third, good feelings predict salubrious mental and physical health outcomes. Prospective studies have shown that frequent positive affects predict (a) resilience to adversity, (b) increased happiness, (c) psychological growth, (d) lower levels of cortisol, (e) reduced inflammatory responses to stress, (f) reductions in subsequent-day physical pain, (g) resistance to rhinoviruses, and (h) reductions in stroke, and fourth, perhaps due to reflecting these effects in combination, good feelings may predict people's longevity. Several well-controlled longitudinal studies document a clear link between frequent positive affect and longevity, which is at least partially mediated by positive emotions, downregulating the effect of excessive or inappropriate sympathetic activation (stress, anxiety, or anger).
Source: http://www.ncbi.nlm.nih.gov/pmc/articles/PMC3278874/
Thinking and imagination have a medical application as well. One of the techniques that rely on them is autogenic training.
Autogenic training refers to a series of mental exercises involving
relaxation and autosuggestion practice regularly. The aim is to teach
individuals to switch off the 'fith/flight/fight' stress response at
will. The resulting passive state is believed to allow the brain and
body to tap into its own spontaneous self-regulatory mechanisms,
which, in turn can encourage an awareness of the origin of certain
mental and physical disorders. In the US, the term 'autogenic' often
refers to any method that involves patients using their own resources
to help themselves, usually involving relaxation, visualisation or
autosuggestion.
During a 'classical' autogenic session, the patient should
think about heaviness and warmth in the limbs. These constitute the
first two exercises of atogenic training. Four other instructions,
relating to heart rate, breathing, warmth in the abdomen and coolness
of the forehead, were added to form the six standard exercises.
Later Sshultz and Thomas developed the personal and motivational
formulae (at first known as 'intentional formulae'), which are
tailored to the individual experience, and involve repitition of
therapeutic suggestions, designed, for example, to correct negative
patterns of thought.
CLINICAL EVIDENCE
Recent RCTs or systematic reviews suggest that
autogenic training can alleviate headaches in a variety of clinical
situations. A meta-analysis of all controlled trials reached positive
conclusions for some conditions (hypertension, asthma, intestinal
diseases, glaucoma and eczema) but made no assessment of the quality
of the studies. One RCT (n=18) suggested that autogenic training may
be a useful adjunctive therapy for complex regional pain syndrome. A
systematic review of CCTs suggested that autogenic training is equally
effective in controlling chronic pain as hypnotherapy.
Complementary Therapies for Pain Management: An Evidence-based Approach, Elsevier Health Sciences, 2007 p.106-108