Larval and adult mosquitoes mount immune responses against pathogens that invade their hemocoel. Although it has been suggested that a correlation exists between immune processes across insect life stages, the influence that an infection in the hemocoel of a larva has on the immune system of the eclosed adult remains unknown. Here, we used Anopheles gambiae to test whether a larval infection influences the adult response to a subsequent bacterial or malaria parasite infection. We found that for both female and male mosquitoes, a larval infection enhances the efficiency of bacterial clearance following a secondary infection in the hemocoel of adults. The adults that emerge from infected larvae have more hemocytes than adults that emerge from naive or injured larvae, and individual hemocytes have greater phagocytic activity. Furthermore, mRNA abundance of immune genes—such as cecropin A, Lysozyme C1, Stat‐A, and Tep1—is higher in adults that emerge from infected larvae. A larval infection, however, does not have a meaningful effect on the probability that female adults will survive a systemic bacterial infection, and increases the susceptibility of females to Plasmodium yoelii, as measured by oocyst prevalence and intensity in the midgut. Finally, immune proficiency varies by sex; females exhibit increased bacterial killing, have twice as many hemocytes, and more highly express immune genes. Together, these results show that a larval hemocoelic infection induces transstadial immune activation—possibly via transstadial immune priming—but that it confers both costs and benefits to the emerged adults.