The associations between behaviour, stress and immune responses are most likely a result of common integration through the neuroendocrine system. Here, we describe associations between behaviour and immunity in great tits, Parus major. Wild-caught birds were brought into captivity, and their immune function was assessed on the basis of antibody production to a novel Brucella abortus antigen and of heterophil/lymphocyte (H/L) ratio, which is also a haematological marker of stress. Two behavioural traits were evaluated: tolerance to captive conditions on the basis of damage inflicted to tail feathers and propensity to produce alarm calls at release. The birds that had highest H/L ratios at capture inflicted the maximum extent of tail damage during the week spent in captivity and produced lowest antibody titres against a novel antigen, which indicates a strong covariation between the tolerance of captivity, perceived stress and immune responsiveness. Propensity to produce alarm calls was lower in birds who tolerated captivity better. Structural equation modelling proposed the existence of an underlying latent variable affecting all the measured traits and causing the correlations between traits. Our study indicates that connections between behaviour and immunity can be easily detected in wild animals.