Host-parasite interactions are an intriguing part of ecology, and understanding how hosts are able to withstand parasitic attacks, e.g. by allocating resources to immune defence, is important. Damselflies and dragonflies show a variety of parasitism patterns, but large-scale comparative immune defence studies are rare, and it is difficult to say what the interplay is between their immune defence and parasitism. The aim of this study was to find whether there are differences in immune response between different damselfly and dragonfly species and whether these could explain their levels of gregarine and water mite parasitism. Using an artificial pathogen, a piece of nylon filament, we measured the encapsulation response of 22 different damselfly and dragonfly species and found that (i) there are significant encapsulation differences between species, (ii) body mass has a strong association with encapsulation and parasite prevalences, (iii) body mass shows a strong phylogenetic signal, whereas encapsulation response and gregarine and water mite prevalences show weak signals, and (iv) associations between the traits are affected by phylogeny. We do not know what the relationship is between these four traits, but it seems clear that phylogeny plays a role in determining parasitism levels of damselflies and dragonflies.