In some aposematic species the conspicuousness of an individual's warning signal and the concentration of its chemical defense are positively correlated. Several mechanisms have been proposed to explain this phenomenon, including resource allocation trade-offs where the same limiting resource is needed to produce both the warning signal and chemical defense. Here, the large milkweed bug (Oncopeltus fasciatus: Heteroptera, Lygaeinae) was used to test whether allocation of antioxidants, that can impart color, trade against their availability to prevent self-damage caused by toxin sequestration. We investigated if (i) the sequestration of cardenolides is associated with costs in the form of changes in oxidative state; and (ii) oxidative state can affect the capacity of individuals to produce warning signals. We reared milkweed bugs on artificial diets with increasing quantities of cardenolides and examined how this affected signal quality (brightness and chroma) across different instars. We then related the expression of warning colors to the quantity of sequestered cardenolides and indicators of oxidative state-oxidative lipid damage (malondialdehyde), and two antioxidants: total superoxide dismutase and total glutathione. Bugs that sequestered more cardenolides had significantly lower levels of the antioxidant glutathione, and bugs with less total glutathione had less luminant orange warning signals and reduced chroma of their black patches compared to bugs with more glutathione. Bugs that sequestered more cardenolides also had reduced red-green chroma of their black patches that was unrelated to oxidative state. Our results give tentative support for a physiological cost of sequestration in milkweed bugs and a mechanistic link between antioxidant availability, sequestration, and warning signals.