Activation of the immune system in insects has been shown to be costly in the laboratory setting, but experimental studies in the field are lacking. The costs of immunity in the wild may be different to those in the laboratory because animals in the wild are simultaneously subjected to a suite of selective agents. We have measured the costs of immune system activation in a wild population of the territorial damselfly Calopteryx splendens. Immune-challenged males were found to be less likely to be territorial and had lower overall survival rates than control or sham-manipulated males. Because territorial males have a higher mating success than nonterritorial males, this result suggests that immune-challenged males are also likely to suffer reduced mating success. However, the activation of the immune system as such did not increase predation risk; this occurred due to a combination of the former with a reduced territory-holding potential. As such, immune-challenged males not holding a territory were most susceptible to predation by birds. The size of the wing spots, a known sexually selected male trait, predicted territorial behaviour in control and sham-manipulated males, but not in immune-challenged males. Our data show that immune system activation can have several costs acting in unison and that ubiquitous ecological interactions, such as predation, may affect trade-offs between immunity and other life history traits.