Many insect genomes have been sequenced and the innate immune responses of several species have been studied by transcriptomics, inviting the comparative analysis of immunity-related genes. Such studies have demonstrated significant evolutionary plasticity, with the emergence of novel proteins and protein domains correlated with insects adapting to both abiotic and biotic environmental stresses. This review article focuses on effector molecules such as antimicrobial peptides (AMPs) and proteinase inhibitors, which display greater evolutionary dynamism than conserved components such as immunity-related signaling molecules. There is increasing evidence to support an extended role for insect AMPs beyond defense against pathogens, including the management of beneficial endosymbionts. The total number of AMPs varies among insects with completed genome sequences, providing intriguing examples of immunity gene expansion and loss. This plasticity is discussed in the context of recent developments in evolutionary ecology suggesting that the maintenance and deployment of immune responses reallocates resources from other fitness-related traits thus requiring fitness trade-offs. Based on our recent studies using both model and non-model insects, I propose that insect immunity genes can be lost when alternative defense strategies with a lower fitness penalty have evolved, such as the so-called social immunity in bees, the chemical sanitation of the microenvironment by some beetles, and the release of antimicrobial secondary metabolites in the hemolymph. Conversely, recent studies provide evidence for the expansion and functional diversification of insect AMPs and proteinase inhibitors to reflect coevolution with a changing pathosphere and/or adaptations to habitats or food associated with microbial contamination.