Genes of the major histocompatibility complex (MHC) encode receptor molecules that are responsible for recognition of intra- and extra-cellular pathogens (class I and class II genes, respectively) in vertebrates. Given the different roles of class I and II MHC genes, one might expect the strength of selection to differ between these two classes. Different selective pressures may also promote different rates of gene conversion at each class. Despite these predictions, surprisingly few studies have looked at differences between class I and II genes in terms of both selection and gene conversion. Here, we investigated the molecular evolution of MHC class I and II genes in five closely related species of prairie grouse (Centrocercus and Tympanuchus) that possess one class I and two class II loci. We found striking differences in the strength of balancing selection acting on MHC class I versus class II genes. More than half of the putative antigen-binding sites (ABS) of class II were under positive or episodic diversifying selection, compared with only 10% at class I. We also found that gene conversion played a stronger role in shaping the evolution of MHC class II than class I. Overall, the combination of strong positive (balancing) selection and frequent gene conversion has maintained higher diversity of MHC class II than class I in prairie grouse. This is one of the first studies clearly demonstrating that macroevolutionary mechanisms can act differently on genes involved in the immune response against intra- and extra-cellular pathogens.