Genes of the major histocompatibility complex (MHC) have been studied for several decades because of their pronounced allelic polymorphism. Structural allelic polymorphism is, however, not the only source of variability subjected to natural selection. Genetic variation may also exist in gene expression patterns. Here, we show that in a natural population of three-spined sticklebacks (Gasterosteus aculeatus) the expression of MHC class IIB genes was positively correlated with parasite load, which indicates increased immune activation of the MHC when infections are frequent. To experimentally study MHC expression, we used laboratory-bred sticklebacks that were exposed to three naturally occurring species of parasite. We found strong differences in MHC class IIB expression patterns among fish families, which were consistent over two generations, thus demonstrating a genetic component. The average number of MHC class IIB sequence variants within families was negatively correlated to the MHC expression level suggesting compensatory up-regulation in fish with a low (i.e. suboptimal) MHC sequence variability. The observed differences among families and the negative correlation with individual sequence diversity imply that MHC expression is evolutionary relevant for the onset and control of the immune response in natural populations.