Diversification by natural selection is a major source of biodiversity. The selective pressures imposed by parasites on their hosts have the potential to increase diversity at immunologically relevant genes and maintain high polymorphism within and among populations. The immune genes of the major histocompatibility complex (MHC) are a hallmark of parasite-mediated selection. These genes frequently show local adaptation to the prevailing parasites. Although associations between parasites and alleles have been identified, they are often imperfect, indicating that parasite-mediated selection goes beyond sequence identity. Here, we explored allele-specific expression of MHC class IIB in cichlid fish and its relationship with sequence diversity. This revealed a few highly abundant alleles with consistently low expression, and many relatively rare alleles with high expression levels that were variable among individuals. Alleles that formed functional supertypes also had similar expression. This suggests that rare alleles may be those responding to parasites and that similar functionality may be provided by different alleles in different individuals. Our results further suggest that there could be an optimal number of MHC alleles per individual and that deviations from this optimum are compensated by adjusting expression levels. The common and lowly expressed alleles may have attained different functions, a patterns that appears to be consistent in Neotropical and African cichlids. Our study shows that MHC expression is highly variable among alleles potentially interacting with parasites, providing an additional substrate for selection. Furthermore, our study exemplifies how combining genetic diversity with detailed expression information can help identifying functionally relevant diversity.