Parasites can mediate host fitness both directly, via effects on survival and reproduction, or indirectly by inducing host immune defense with costly side-effects.  The evolution of immune defense is determined by a complex interplay of costs and benefits of parasite infection and immune response, all of which may differ for male and female hosts in sexual lineages.  Here, we examine fitness costs associated with an inducible immune defense in a fish-cestode host-parasite system.  Cestode infection induces peritoneal fibrosis in threespine stickleback (Gasterosteus aculeatus), constraining cestode growth and sometimes encasing and killing the parasite. Surveying two wild populations of stickleback, we confirm that the presence of fibrosis scar tissue is associated with reduced parasite burden in both male and female fish. However, fibrotic fish had lower foraging success and reproductive fitness (reduced female egg production and male nesting success), indicating strong costs of the lingering immunopathology.  Consistent with substantial sexually-concordant fitness effects of immune response, we find alignment of multivariate selection across the sexes despite sexual antagonism over morphological shape. Although both sexes experienced costs of fibrosis, the net impacts are unequal because in the two study populations females had higher cestode exposure. To evaluate whether this difference in risk should drive sex-specific immune strategies, we analyze a quantitative genetic model of host immune response to a trophically transmitted parasite. The model and empirical data illustrate how shared costs and benefits of immune response lead to shared evolutionary interests of male and female hosts, despite unequal infection risks across the sexes.