Understanding the importance of host genetic diversity for coping with parasites and infectious diseases is a long-standing goal in evolutionary biology. Here, we study the association between probability of infection by avian malaria (Plasmodium relictum) and individual genetic diversity in three blue tit (Cyanistes caeruleus) populations that strongly differ in prevalence of this parasite. For this purpose, we screened avian malaria infections and genotyped 789 blue tits across 26 microsatellite markers. We used two different arrays of markers: 14 loci classified as neutral and 12 loci classified as putatively functional. We found a significant relationship between probability of infection and host genetic diversity estimated at the subset of neutral markers that was not explained by strong local effects and did not differ among the studied populations. This relationship was not linear, and probability of infection increased up to values of homozygosity by locus (HL) around 0.15, reached a plateau at values of HL from 0.15 to 0.40 and finally declined among a small proportion of highly homozygous individuals (HL > 0.4). We did not find evidence for significant identity disequilibrium, which may have resulted from a low variance of inbreeding in the study populations and/or the small power of our set of markers to detect it. A combination of subtle positive and negative local effects and/or a saturation threshold in the association between probability of infection and host genetic diversity in combination with increased resistance to parasites in highly homozygous individuals may explain the observed negative quadratic relationship. Overall, our study highlights that parasites play an important role in shaping host genetic variation and suggests that the use of large sets of neutral markers may be more appropriate for the study of heterozygosity–fitness correlations.