Predation selects for numerous traits in many animal species, with sick or parasitized prey often being at high risk. When challenged by parasites and pathogens, prey with poor immune functions are thus likely to be at a selective disadvantage. We tested the hypothesis that predation by birds selects for increased immune function in a wild population of male damselflies Calopteryx splendens, while controlling for a trait known to be under selection by bird predation, dark wing-spots. We found that selection on both immune function and wing-spot size was significantly positive, and that selection on either trait was independent of selection on the other. We found no evidence of nonlinear quadratic or correlational selection. In contrast to previous studies, we found no phenotypic correlation between immune function and wing-spot size. There was also no difference in immune response between territorial and non-territorial males. Our study suggests that predation may be an important agent of selection on the immune systems of prey, and because the selection we detected was directional, has the potential to cause phenotypic change in populations.