The Red Queen hypothesis proposes that coevolving parasites select for outcrossing in the host. Outcrossing relies on males, which often show lower immune investment due to, for example, sexual selection. Here, we demonstrate that such sex differences in immunity interfere with parasite-mediated selection for outcrossing. Two independent coevolution experiments with Caenorhabditis elegans and its microparasite Bacillus thuringiensis produced decreased yet stable frequencies of outcrossing male hosts. A subsequent systematic analysis verified that male C. elegans suffered from a direct selective disadvantage under parasite pressure (i.e. lower resistance, decreased sexual activity, increased escape behaviour), which can reduce outcrossing and thus male frequencies. At the same time, males offered an indirect selective benefit, because male-mediated outcrossing increased offspring resistance, thus favouring male persistence in the evolving populations. As sex differences in immunity are widespread, such interference of opposing selective constraints is likely of central importance during host adaptation to a coevolving parasite.