Difference between sexes in parasitism is a common phenomenon among birds, which may be related to differences between males and females in their investment into immune functions or as a consequence of differential exposure to parasites. Because life-history strategies change sex specifically during the annual cycle, immunological responses of the host aiming to reduce the impact of parasites may be sexually dimorphic. Despite the great complexity of the immune system, studies on immunoecology generally characterise the immune status through a few variables, often overlooking potentially important seasonal and gender effects. However, because of the differences in physiological and defence mechanisms among different arms of the immune system, we expect divergent responses of immune components to environmental seasonality. In male and female house sparrows (Passer domesticus), we measured the major components of the immune system (innate, acquired, cellular and humoral) during four important life-history stages across the year: (1) mating, (2) breeding, (3) moulting and (4) during the winter capture and also following introduction to captivity in aviary. Different individuals were sampled from the same population during the four life cycle stages. We found that three out of eight immune variables showed a significant life cycle stage × sex interaction. The difference in immune response between the sexes was significant in five immune variables during the mating stage, when females had consistently stronger immune function than males, while variables varied generally non-significantly with sex during the remaining three life cycle stages. Our results show that the immune system is highly variable between life cycle stages and sexes, highlighting the potential fine tuning of the immune system to specific physiological states and environmental conditions.