The immune system serves as the first line of defense against attack by parasites. With the ever-increasing rate of disease, epidemiologic models that consider geographic variation in the strength of immune responses among individuals and populations could prove useful. Although there is increasing interest in the macroecology of parasitism and infectious diseases, we know very little about the macroecology of immune responses. Characteristics of the host, exposure to parasites, and environmental factors can all affect immunity, but how these factors interact to shape spatial variation in the strength of immune responses remains unexplored. We captured odonates (dragonflies and damselflies) and their conspicuous ectoparasitic mites across a geographic area spanning two biomes in eastern Canada. We then conducted immune response bioassays on 1,237 individuals from 63 odonate species. We estimated the strength of a key aspect of odonate immune response against ectoparasites by inserting a nylon thread into adult individuals and quantifying the encapsulation response. We then used linear regressions and structural equation models to relate these measurements to host body size, parasite load, pH, temperature, and precipitation while accounting for evolutionary relationships among host species. We found significant differences in the strength of immune response among host individuals, and this variation was best explained by climatic conditions, specifically decreasing with precipitation and, to a lesser degree, temperature. While host species significantly differed in the strength of their immune response, we found no effect of host body size, evolutionary relationships among hosts, or parasitism on immune response. Our study investigating the drivers of immune response across dozens of species spread in two biomes is the most comprehensive to date. Climatic conditions have a strong influence on host immune response, regardless of host characteristics or parasitism rates. In this specific case, strong immune responses were associated with low levels of annual precipitation, which could possibly relate to the role of cuticular melanin content in desiccation resistance, and the melanin-based encapsulation response being a byproduct of this adaptation. A spatially-explicit understanding of the biological processes affecting immunity could improve epidemiological models of disease risk that inform disease management globally.