A central issue in avian ecology deals with the trade‐off between investment life‐history components, such as reproductive effort, and parasite and disease resistance. During reproduction, differences in the particular needs of males and females may further affect the outcome of such trade‐off. However, most studies performed to date on avian species have focused on males, while less is known about this subject in females. We investigated haemoparasite infections (genera Haemoproteus, Plasmodium and Leucocytozoon) in relation to sex, year, body condition and plasma concentrations of carotenoids in wild‐breeding Red‐legged partridges (Alectoris rufa). Our aim was to examine whether there are differences in infections between sexes and how parasite infections relate to carotenoid levels, physical condition and breeding parameters in non‐passerine wild birds. Males captured early in the breeding season were in better body condition than females, indicating a marked sexual difference in this trait in wild Red‐legged partridges. The prevalence of blood parasites in males was higher than in females. However, we found that females infected by blood parasites had lower plasma carotenoid concentrations than uninfected females, whereas no association between infection and carotenoid levels was found in males. This suggests sex‐related differences in the use of carotenoids to fight infections or for parasite resistance. A possible explanation of this contrasting pattern between sexes is that reproduction may not have to involve the same costs for males and females. We suggest that males would be under strong sexual selection and would trade health for signalling, which could simultaneously explain highest parasite prevalence being found in males and the contrasting patterns in blood carotenoid levels between males and females. Females in contrast, that were in worst body condition during early breeding season, were more sensitive to infections, diverting carotenoids to immune function more than males.