Genes of the major histocompatibility complex (MHC) encode molecules that control immune recognition and are highly polymorphic in most vertebrates. The remarkable polymorphisms at MHC loci may be maintained by selection from parasites, sexual selection, or both. If asexual species show equal (or higher) levels of polymorphisms at MHC loci as sexual ones, this would mean that sexual selection is not necessary to explain the high levels of diversity at MHC loci. In this study, we surveyed the MHC diversity of the asexual amazon molly (Poecilia formosa) and one of its sexual ancestors, the sailfin molly (P. latipinna), which lives in the same habitat. We found that the asexual molly has polymorphic MHC loci despite its clonal reproduction, yet not as polymorphic as the sexual species. Although the nucleotide diversity was similar between the asexual and sexual species, the sexual species exhibited a greater genotypic diversity compared to the asexual one from the same habitats. Within-genome diversity was similar for MHC class I loci, but for class IIB, the sexual species had higher diversity compared to the asexual — despite the hybrid origins and higher levels of heterozygosity at microsatellite loci in the asexual species. The level of positive selection appears to be similar between the two species, which suggests that these polymorphisms are maintained by selection. Thus, our findings do not allow us to rule out the sexual selection hypothesis for the evolution of MHC diversity, and although the sexual fish has higher levels of MHC-diversity compared to the asexual species, this may be due to differences in demography, parasites, or other factors, rather than sexual selection.