Urban habitats are described as having an overall negative influence on many fitness-related traits in several bird species, but a vital function such as immunity remains poorly studied. The immune response is strongly linked to individual condition, which partly depends on resource availability and the parasitic context that often differ between urban and natural habitats. A difference between the immunity of populations dwelling in urban areas and populations from more natural habitats can, therefore, be hypothesized. We conducted a 2-year experimental study on great tits (Parus major) in urban and forest areas. We stimulated the constitutive immunity of nestlings and assessed both the inflammatory response by measuring the plasma levels of haptoglobin, an inflammatory marker, and its activation cost through the loss of body mass. In addition, we checked the nestlings for ectoparasites and assessed haemosporidian prevalence in adults. Nestlings from urban sites produced relatively less haptoglobin and lost more body mass than those from forest sites, which suggests that the activation of constitutive immunity is more costly for birds living in urban sites than for those living in the forest. We detected no ectoparasite in birds in both habitats. However, urban adults showed lower haemosporidian prevalence than forest ones, suggesting a reduced exposure to these parasites and their vectors in towns. Overall, our study provides evidence for an immune difference between urban and forest populations. Because immunity is crucial for organism fitness, it is of prime interest to identify causes and processes at the origin of this difference.