Despite intensive studies in ecological immunology, few have investigated variation in immune defence among natural populations; in particular, there is a lack of knowledge of the sources of spatial variability in immune defence in the wild. Here we documented variation among twelve populations of the freshwater crustacean Gammarus pulex in the activity of the prophenoloxidase (ProPO) system, which is an important component of invertebrate immunity. We then tested for trade-offs between investment in immune defence and fitness-related traits such as survival and fecundity, as well as for environmental causes of variability (water temperature and conductivity, parasite prevalence). Levels of immune defence differed among populations, with environment partly explaining this population effect, as immune activities were negatively related to water conductivity and acanthocephalan parasite prevalence. There was a strong variation among populations for the maintenance of the ProPO system, while variation in its use was relatively weak. Such a pattern could be partly explained by the relative costs associated with the maintenance and/or the use of the ProPO system. Investment in the ProPO system was negatively correlated to survival, whereas it was positively related to female fecundity and resource storage. However, variation in immunity did not predict resistance to bacterial infection among populations, suggesting that measuring the activity of the ProPO system might not be sufficient to estimate immunocompetence at the population level. These results suggest that investment in immune function is a variable trait, which might be locally optimized as a result of both life history trade-offs and environmental conditions, highlighting the need to combine them in a common framework.