Individual variation in the susceptibility to infection may result from the varying ability of hosts to specifically recognize different parasite strains. Alternatively, there could be individual host differences in fitness costs of immune defence. Although, these two explanations are not mutually exclusive, they have so far been treated in separate experimental approaches. To analyse potential relationships, we studied body condition and oxidative stress, which may reflect costs of immunity, in three-spined sticklebacks that had been experimentally exposed to three species of naturally occurring parasite. These sticklebacks differed in a trait, which is crucial to specific parasite defence, i.e. individual genetic diversity at major histocompatibility complex (MHC) class IIB loci. Oxidative stress was quantified as tissue acrolein, a technique that has been applied to questions of immuno-ecology for the first time. We measured gene expression at the MHC and other estimates of immune activation. We found that fish with high levels of MHC expression had poor condition and elevated oxidative stress. These results indicate that MHC-based specific immunity is connected with oxidative stress. They could, thus, also be relevant in the broader context of the evolution of sexually selected signals that are based on carotenoids and are, thus supposed to reflect oxidative stress resistance.