Immune system maintenance and upregulation is costly. Sexual selection intensity, which increases male investment into reproductive traits, is expected to create trade-offs with immune function. We assayed phenoloxidase (PO) and lytic activity of individuals from populations of the Indian meal moth, Plodia interpunctella, which had been evolving under different intensities of sexual selection. We found significant divergence among populations, with males from female-biased populations having lower PO activity than males from balanced sex ratio or male-biased populations. There was no divergence in anti-bacterial lytic activity. Our data suggest that it is the increased male mating demands in female-biased populations that trades-off against immunity, and not the increased investment in sperm transfer per mating that characterizes male-biased populations.