Host susceptibility and patterns of infection are predicted to differ between males and females due to sex-based tradeoffs between the demands of reproduction and costly immune defenses. In this study, we examined immune defenses and the response to experimental infection by a protozoan parasite, Ophryocystis elektroscirrha, in male and female monarch butterflies, Danaus plexippus. We quantified two measures of immunity in late instar larvae: the concentration of circulating hemocytes and mid-gut phenoloxidase activity, and also quantified final parasite loads, body size, longevity, and wing melanism of adult butterflies. Results showed that females had greater average hemocyte counts than males in the absence of infection; males, but not females, showed an increased concentration of hemocytes in the presence of infection. However, higher hemocyte concentrations in larvae were not significantly correlated with lower adult parasite loads, and mid-gut phenoloxidase activity was not significantly associated with hemocyte counts or parasite treatments. Among unparasitized females, greater hemocyte concentrations were costly in terms of reduced body size, but for parasite-treated females, hemocyte concentrations and body size were positively associated. Across all monarchs, unparasitized butterflies showed greater wing melanism (darker forewings) than parasitized monarchs. Overall, this study provides support for differential costs of immune defenses in male and female monarch butterflies, and a negative association between parasite infection and monarch wing melanism.