In invertebrate–parasite systems, the likelihood of infection following parasite exposure is often dependent on the specific combination of host and parasite genotypes (termed genetic specificity). Genetic specificity can maintain diversity in host and parasite populations and is a major component of the Red Queen hypothesis. However, invertebrate immune systems are thought to only distinguish between broad classes of parasite. Using a natural host–parasite system with a well-established pattern of genetic specificity, the crustacean Daphnia magna and its bacterial parasite Pasteuria ramosa, we found that only hosts from susceptible host–parasite genetic combinations mounted a cellular response following exposure to the parasite. These data are compatible with the hypothesis that genetic specificity is attributable to barrier defenses at the site of infection (the gut), and that the systemic immune response is general, reporting the number of parasite spores entering the hemocoel. Further supporting this, we found that larger cellular responses occurred at higher initial parasite doses. By studying the natural infection route, where parasites must pass barrier defenses before interacting with systemic immune responses, these data shed light on which components of invertebrate defense underlie genetic specificity.