To understand host–parasite interactions, it is necessary to quantify variation and covariation in defence traits. We quantified parasite resistance and fitness tolerance of a polymorphic damselfly (Ischnura elegans), an insect with three discrete female colour morphs but with monomorphic males. We quantified sex and morph differences in parasite resistance (prevalence and intensity of water mite infections) and morph-specific fitness tolerance in the females in natural populations for over a decade. There was no evidence for higher parasite susceptibility in males as a cost of sexual selection, whereas differences in defence mechanisms between female morphs are consistent with correlational selection operating on combinations of parasite resistance and tolerance. We suggest that tolerance differences between female morphs interact with frequency-dependent sexual conflict, which maintains the polymorphism locally. Host–parasite interactions can therefore shape intra- and intersexual phenotypic divergence and interfere with sexual selection and sexual conflict.