Immune defenses are critical for host resistance to parasites and diseases, and they can be flexibly adjusted according to individual state and external environment. Additionally, there may be systematic variation between individuals deriving from consistent individual differences that are stable across space and time, such as behavioural syndromes or animal coping styles. These are defined by individual differences in behavioural traits that are maintained across time and context. For example, animals with a reactive style are consistently more cautious and risk-averse than those with a pro-active coping style. The latter type has been predicted to have more vigorous immunity because the risk of parasite exposure is greater. An association between immune strategy and personality is likely from a mechanistic perspective also: behavioural syndromes are associated with different activities of the stress response systems, that is intricately linked with immunity. Here we test the association between individual coping style and innate immune defences in a bird, the superb fairy-wren, Malurus cyaneus. We focus on innate immune defenses since these form a critical, non-specific first line of defense against invaders. We also estimated stress experienced by the birds from blood parameters. Modulation of immune defense in response to external environment was evident for two of three innate immune parameters. In addition, we found evidence that one aspect of innate immunity, natural antibodies, covaried positively with bold exploration style, contrary to the parasite-mediated predictions, but this did not appear to be stress-related.