The innate immune system of insects provides effective defence against a range of parasites and pathogens. The pea aphid, Acyrthosiphon pisum, is a novel study system for investigating host-parasite interactions due to its complex associations with both well-characterised bacterial symbionts and a diversity of pathogens and parasites, including several important biological control agents. However, little is known about the cellular and humoral immune responses of aphids. Here we identify three morphologically distinct types of haemocytes in circulation that we name prohemocytes, granulocytes and oenocytoids. Granulocytes avidly phagocytose Gram negative Escherechia coli and Gram positive Micrococcus luteus while oenocytoids exhibit melanotic activity. Prohaemocytes increase in abundance immediately following an immune challenge, irrespective of the source of stimulus. Pea aphids form melanotic capsules around Sephadex beads but do not form cellular capsules. We also did not detect any antimicrobial peptide activity in the haemolymph using zone of inhibition assays. We discuss these results in relation to recent findings from the pea aphid genome annotation project that suggest that aphids have a reduced immune gene repertoire compared to other insects.