Parasites impose a permanent threat for hosts. As a consequence, immune defenses are important for host fitness. However, the immune response can also produce self-damage and impair host fitness if not properly regulated. Effectors that up- and down-regulate the immune response should, therefore, evolve in concert, and be under the action of correlational selection. To address this issue, we assessed the shape of the selection operating on pro- and anti-inflammatory effectors following an inflammatory challenge in laboratory mice. We found that selection acts on the combination of these two traits as individuals that produced large amount of pro-inflammatory cytokines could achieve relatively high fitness (survival) only if also producing a large amount of anti-inflammatory effectors. To our knowledge, this is the first study providing evidence for correlational selection on immunity.