A currently popular hypothesis states that the expression of carotenoid‐dependent sexual ornaments and immune function may be correlated because both traits are positively affected by carotenoids. However, such a correlation may arise for another reason: it is well known that immune function is dependent on nutritional condition. A recent study has suggested that the expression of ornaments may too depend on nutritional condition, as males in good nutritional condition are better at assimilating and/or modulating carotenoids. Thus, carotenoid‐dependent ornaments and immune function may be correlated because both are dependent on nutritional condition. To elucidate if, and how, ornamentation and immune function are linked, pheasant diets were supplemented with carotenoid and/or protein in a fully factorial experiment. Carotenoid treatment affected wattle coloration and tail growth, but not cellular or humoral immunity. Immunity was unrelated to males’ initial ornamentation including wattle colour. Males in better body condition, measured as residual mass, increased their wattle coloration more when carotenoid supplemented. Protein positively affected humoral but not cellular immunity, but had no effect on ornaments. Cellular, but not humoral, immunity increased with male body condition. Thus, there was no evidence that an immune‐stimulatory effect of carotenoids resulted in wattle coloration honestly signalling immune function, but wattle coloration may still signal male body condition.