Maintaining an immune system is costly. Resource allocation to immunity should therefore trade off against other fitness components. Numerous studies have found phenotypic trade-offs after immune challenge, but few have investigated genetic correlations between immune components and other traits. Furthermore, empirical evidence for the costs of maintaining an innate immune system in the absence of challenges is rare. We examined responses to artificial selection on phenoloxidase (PO) activity, an important part of the insect innate defense against multicellular pathogens, in yellow dung flies, Scathophaga stercoraria (L.). After 15 generations of successful selection on PO activity, we measured reproductive characters: clutch size, egg hatching rates, adult emergence rates, and adult longevity. We found no evidence for negative genetic correlations between PO activity and reproduction. In fact, flies of lines selected for increased PO activity had larger first clutches, and flies of lines selected for decreased PO activity had smaller ones. However, flies from high-PO lines died earlier than did low-PO flies when no food was available; that is, there is a survival cost of running at high PO levels in the absence of challenge. Variation in resource acquisition or use may lead to positive genetic correlations between PO and fertility and fecundity. The negative correlation between PO and longevity under starvation may indicate that variation for resource acquisition is maintained by a cost of acquisition, based on a genotype-environment interaction.