Maintenance and activation of the immune system incur costs, not only in terms of substrates and energy but also via collateral oxidative damage to host cells or tissues during immune response. So far, associations between immune function and oxidative damage have been primarily investigated at intra-specific scales. Here, we hypothesized that pathogen-driven selection should favour the evolution of effective immunosurveillance mechanisms (e.g. major histocompatibility complex, MHC) and antioxidant defences to mitigate oxidative damage resulting from immune function. Using phylogenetically informed comparative approaches, we provided evidence for the correlated evolution of host oxidative physiology and MHC-based immunosurveillance in birds. Species selected for more robust MHC-based immunosurveillance (higher gene copy numbers and allele diversity) showed stronger antioxidant defences, although selection for MHC diversity still showed a positive evolutionary association with oxidative damage to lipids. Our results indicate that historical pathogen-driven selection for highly duplicated and diverse MHC could have promoted the evolution of efficient antioxidant mechanisms, but these evolutionary solutions may be insufficient to keep oxidative stress at bounds. Although the precise nature of mechanistic links between the MHC and oxidative stress remains unclear, our study suggests that a general evolutionary investment in immune function may require co-adaptations at the level of host oxidative metabolism.