Abstract Immunocompetence evolution can involve a ‘resistance is futile’ scenario, if parasite encounter rates are so high that high investment in resistance only marginally delays infection. Here, we investigate two understudied aspects of ‘futility’. First, immunocompetence is usefully categorized as reducing the rate of becoming infected (resistance) or reducing the negative fitness consequences of infection once it happened (tolerance). We compare the prospects of futility for resistance, tolerance, and their joint occurrence, showing that resistance futility arises with respect to parasite encounter rates, while tolerance futility arises with respect to parasite virulence. However, if the same host trait improves pleiotropically both resistance and tolerance, futility disappears altogether and immunity investment remains profitable when increasing parasite encounter rates, virulence, or both. Second, we examine how sexual selection strength impacts these findings. If one sex (typically males) is near the faster end of a fast-slow continuum of life histories, then life history patterns reflecting futility can evolve sex-specificity. The solutions often feature sexual dimorphism in immunocompetence, but not always in the direction of strong sexual selection yielding low immunity: sexual selection can select for faster and ‘sicker’ lives, but if sexual selection also causes traits that impact parasite encounter rates, the results are strongly dependent on whether futility (along any axis) plays a role. Lay Summary Intuition suggests that investment into immunity is higher, when hosts frequently encounter parasites. While there are examples that confirm this, in other cases, hosts have been shown to abandon immune defenses under high parasite pressure. We reconcile these findings by modelling the optimal host resource allocation towards immunity under varying parasite pressure and strength of sexual selection. Our results show two axes along which immunity investments are futile and should therefore be abandoned in favor of investing into reproduction: resisting infection becomes futile under high parasite abundance, while tolerating the harmful effects of infection is not beneficial under ever increasing parasitic virulence. However, investments of organisms that are capable of both resistance and tolerance mechanisms yield fitness payoffs also when parasites are highly virulent and abundant. This work highlights the impact of parasites and immune defenses on optimal immunity investment levels in hosts, an insight which also complements theory on sex-specific immunity.