Melanin-based coloration is widespread among vertebrates, but the adaptive function of this trait remains poorly known. Recently, it has been shown that differently coloured individuals have different abilities to cope with parasites. This correlation between melanin-based coloration and immunity could be explained by the pleiotropic effects of genes coding for melanin pigmentation on the immune system (‘genetic link’ hypothesis) but also because differently coloured individuals may exploit alternative habitats varying in parasite exposure, which leads to different development of the immune function (‘exposure’ hypothesis). As feral pigeons Columba livia are genetically polymorphic with respect to melanic coloration, they constitute an ideal model system to address such hypotheses. In this study, we showed that darker melanic individuals had a lower endoparasite intensity (reflecting host susceptibility) and had a greater cellular immune response to PHA injection than paler ones, whereas parasite prevalence (reflecting exposure to vectors) was similar between colorations. These results provide a correlative support of the ‘genetic link’ hypothesis: differently coloured individuals might be similarly exposed to parasites but darker ones might have a better ability to control the infection. This suggests that parasitism could play a crucial role in the maintenance of colour polymorphism in natural populations, which opens the interesting possibility that differently coloured individuals could be adapted to alternative environments varying in parasite diversity and exposure.