Mounting an immune response requires substantial energy. Ecological immunology theory predicts allocation trade-offs between reproductive effort and immune responses under conditions of energy limitation. Little is known about the impact of capital breeding strategies on energy allocation to immune function in mammals. Northern elephant seals (NES) forage in the marine environment, breed in dense terrestrial colonies and exhibit high rates of energy expenditure for lactation while fasting. Body reserves strongly influence reproductive effort and lactation requires elevation of plasma cortisol for energy mobilization. We characterized immune response by measuring a suite of immune markers including cytokines, an acute phase protein, and immunoglobulins early and late in breeding and moult haul-outs in 197 samples from 129 female NES. We explored potential impacts of breeding, body condition and plasma cortisol on immune function. Immune responses were greater and more varied during breeding. Adiposity had positive associations with innate immune responses across all life-history stages. Body mass had positive associations with both adaptive and innate immune responses early in fasts. Females with lower fat reserves showed reduced innate immune responses at the end of lactation. Immunoglobulin E, a marker of immune response to parasitic infection, exhibited a significant negative association with cortisol across all life-history stages. These data suggest that breeding carries an immune cost and provide evidence for allocation trade-offs between immune function and breeding effort. These trade-offs may reflect a compromise between immune costs inherent in colonial breeding and energetic limitations that arise in use of capital breeding strategies. Variation in evidence for immunosuppressive effects of cortisol suggests that decoupling of these effects may be limited to specific aspects of the immune response during terrestrial fasting. Immune responses that are required for survival may be modulated relative to the energetic demands required for successful reproduction.