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Life-history theory predicts that animals face a trade-off in energy allocation between performing strenuous exercise, such as migratory flight, and mounting an immune response. We experimentally tested this prediction by studying immune function in European starlings, Sturnus vulgaris, flown in a wind tunnel. Specifically, we predicted that constitutive immune function decreases in response to training and, additionally, in response to immediate exercise. We compared constitutive immune function among three groups: (1) ‘untrained’ birds that were kept in cages and were not flown; (2) ‘trained’ birds that received flight training over a 15 day period and performed a 1-4 h continuous flight, after which they rested for 48 h before being sampled; and (3) ‘post-flight’ birds that differed from the ‘trained’ group only in being sampled immediately after the final flight. A bird in our trained group represents an individual during migration that has been resting between migratory flights for at least 2 days. A bird in our post-flight group represents an individual that has just completed a migratory flight and has not yet had time to recover. Three of our four indicators (haptoglobin, agglutination and lysis) showed the predicted decrease in immune function in the post-flight group, and two indicators (haptoglobin, agglutination) showed the predicted decreasing trend from the untrained to trained to post-flight group. Haptoglobin levels were negatively correlated with flight duration. No effect of training or flight was detected on leukocyte profiles. Our results suggest that in European starlings, constitutive immune function is decreased more as a result of immediate exercise than of exercise training. Because of the recent emergence of avian-borne diseases, understanding the trade-offs and challenges faced by long-distance migrants has gained a new level of relevance and urgency.