Pneumocystis species are ascomycete fungi adapted to live inside the lungs of mammals. These ascomycetes show extensive stenoxenism, meaning that each species of Pneumocystis infects a single species of host. Here, we study the effect exerted by natural selection on gene evolution in the genomes of three Pneumocystis species. We show that genes involved in host interaction evolve under positive selection. In the first place, we found strong evidence of episodic diversifying selection in Major surface glycoproteins (Msg). These proteins are located on the surface of Pneumocystis and are used for host attachment and probably for immune system evasion. Consistent with their function as antigens, most sites under diversifying selection in Msg code for residues with large relative surface accessibility areas. We also found evidence of positive selection in part of the cell machinery used to export Msg to the cell surface. Specifically, we found that genes participating in glycosylphosphatidylinositol (GPI) biosynthesis show an increased rate of nonsynonymous substitutions (dN) versus synonymous substitutions (dS). GPI is a molecule synthesized in the endoplasmic reticulum that is used to anchor proteins to membranes. We interpret the aforementioned findings as evidence of selective pressure exerted by the host immune system on Pneumocystis species, shaping the evolution of Msg and several proteins involved in GPI biosynthesis. We suggest that genome evolution in Pneumocystis is well described by the Red-Queen hypothesis whereby genes relevant for biotic interactions show accelerated rates of evolution.