The confounding effects of population structure complicate efforts to identify regions of the genome under the influence of selection in natural populations. Here we test for evidence of selection in three genes involved in vertebrate immune function — the major histocompatibility complex (MHC), interferon gamma (IFNG) and natural resistance associated macrophage polymorphism (NRAMP) — in highly structured populations of wild thinhorn sheep (Ovis dalli). We examined patterns of variation at microsatellite loci linked to these gene regions and at the DNA sequence level. Simple Watterson's tests indicated balancing selection at all three gene regions. However, evidence for selection was confounded by population structure, as the Watterson's test statistics from linked markers were not outside of the range of values from unlinked and presumably neutral microsatellites. The translated coding sequences of thinhorn IFNG and NRAMP are fixed and identical to those of domestic sheep (Ovis aries). In contrast, the thinhorn MHC DRB locus shows significant evidence of overdominance through both an excess of nonsynonymous substitution and trans-species polymorphism. The failure to detect balancing selection at microsatellite loci linked to the MHC is likely the result of recombination between the markers and expressed gene regions.