Animal signals involved in sexual selection are often indicators of individual quality. The assumption that sexual characters such as breeding plumage may indicate immune state has rarely been tested in free-living migratory birds, particularly in relation to innate immunity. If sexual characters indeed reflect immune condition, then these could be used to evaluate individual quality. Melanin is a common pigment used in animal communication that mitigates the effects of oxidative stress and has positive effects on energy homeostasis, important functions during the strenuous activity of long-distance flights. However, melanin is also immunosuppressive, and the melanised patches of breeding plumage may to some extent compromise immune responsiveness. We studied melanin-based secondary sexual characters (SSC) in a long-distance migratory wader, the Black-tailed godwit (Limosa limosa), and found that breeding plumage features of male and female godwits are linked to components of innate immunity. Males with a larger colour extension had higher circulating levels of haptoglobin and hemolysis activity, while they also presented a lower body condition; whereas females presented a negative trend between colour and bar extension and hemolysis activity, and a positive trend for natural antibodies. The association between signal, immune state and physical condition in males suggests a cost for signal production and immune condition during prenuptial migration. Sex differences in how signals relate with immune capacity are a likely consequence of sex-specific signalling roles and energy demands. Our results indicate that male godwit breeding plumage reflects innate immunity state, and is therefore a likely signal for females to use during mate choice as an honest indicator of male’s capacity to allocate energy/resources to both expensive traits during periods of energetic constraint.