An entomopathogenic nematode, Steinernema feltiae K1, exhibits pathogenicity in various insect hosts, however, its virulence among the target insect species varies. Specifically, a coleopteran insect, Tenebrio molitor, is less susceptible to S. feltiae than are lepidopteran insects. We analyzed the low virulence of S. feltiae against T. molitor sequentially, in entering the gut lumen and penetrating the hemocoel, and in hemocoelic immune defenses by comparing the responses to those of a lepidopteran insect, Spodoptera exigua. Infective juveniles (IJs) of S. feltiae exhibited higher virulence and produced more progeny IJs in S. exigua than in T. molitor. The difference in IJ behavior was observed in the IJ invasion rate (IJs in gut lumen/IJs treated) after treatment, in which a lower rate was observed in T. molitor (20.4%) than in S. exigua (55.5%). Also, a lower hemocoelic penetration rate of IJs (IJs in hemocoel/IJs in gut) was observed in T. molitor (54%) than in S. exigua (74%) 24 h after feeding treatment. To investigate the immune defense in the hemocoel, insect hemolymph samples were incubated with IJs. The encapsulation behavior and phenoloxidase activity was higher in T. molitor hemolymph than in S. exigua hemolymph, which resulted in a significantly higher nematicidal activity in S. exigua. The humoral immune responses against S. feltiae were also different between the two species. The expression of two antimicrobial peptides, cecropin and attacin 1, was much higher in T. molitor. Furthermore, eicosanoid biosynthetic activity against S. feltiae was different in the two host species; sPLA activity was highly inducible in T. molitor but not in S. exigua. These results suggest that variability of the immune defense in the target insects, as well as in the invasion and penetration rates of IJs to the hemocoel, plays a crucial role in determining the insecticidal virulence of S. feltiae.