Carotenoid-based colours in animals are valuable models for testing theories of sexual selection and life-history trade-offs because the pigments used in coloration are chemically tractable in the diet and in the body, where they serve multiple purposes (e.g. health enhancement, photoprotection). An important assumption underlying the hypothesized signalling value of carotenoid coloration is that there is a trade-off in carotenoid pigment allocation, such that not all individuals can meet the physiological/morphological demands for carotenoids (i.e. carotenoids are limited) and that only those who have abundant supplies or fewer demands become the most colourful. Studies of carotenoid trade-offs in colourful animals have been limited largely to domesticated species, which may have undergone artificial selection that changed the historical/natural immunomodulatory roles of carotenoids, to young animals lacking carotenoid-based signals or to species displaying carotenoid-based skin and bare parts. We studied the health benefits of carotenoids during moult in house finches (Carpodacus mexicanus), which display sexually selected, carotenoid-based plumage coloration. We manipulated dietary carotenoid availability during both winter (nonmoult) and autumn (moult) in captive males and females and found that carotenoid-supplemented birds mounted stronger immune responses (to phytohemagglutinin injection and to a bacterial inoculation in blood) than control birds only during moult. This study provides experimental, seasonal support for a fundamental tenet of Lozano's ‘carotenoid trade-off’ hypothesis and adds to a growing list of animal species that benefit immunologically from ingesting higher dietary carotenoid levels. © 2011 The Linnean Society of London, Biological Journal of the Linnean Society, 2011, 102, 560–572.