Energy is typically a limiting factor for animals during boreal zone winters, when low temperatures increase the cost of thermoregulation at the same times as short day-lengths and snow cover constrain foraging opportunities. Under these circumstances animals use a suite of behavioural and physiological adaptations to avoid overnight starvation. However, it is poorly understood how such strategies are affected by increased energy demands from other physiological systems. Thus, we used free-ranging blue tits (Cyanistes caeruleus L.) to test if competing demands for energy (here induced by a non-inflammatory, antibody-mediated immune challenge) would affect nocturnal body temperature (a predictor of energy expenditure in small animals) and energy-saving nest box roosting behaviour. We also assessed if the immune challenge incurred long-term survival costs. We found no evidence that body temperature regulation differed between immune-challenged and saline-injected birds. Nor did the immune challenge reduce survival to the next breeding season. However, old (second winter or older) immune-challenged birds continued roosting in nest boxes to a larger extent at the peak immune response, despite increased perceived predation risk induced by the preceding capture and immunization. In contrast, old control birds were less prone to roost in nest boxes after capture and saline injection. This difference was less pronounced in young (first winter) birds. We interpret the increased risk-taking behaviour in immune-challenged birds as a consequence of a higher need for exploiting the thermal benefits of nest box roosting to reduce energy loss. This suggests that resource deficiency might be a stronger predictor of overnight survival than the threat of nocturnal predation in this system. As such, our study provides insights into the classic trade-off between starvation and predation risk, in suggesting that priority is given to minimizing the risk of starvation in situations where both starvation and predation risks increase during cold winter nights.