Revealing the genetic basis of immune response and, particularly, the genetic mechanisms of pathogen resistance or susceptibility is a challenging task, which requires a careful choice of model species and methodology. We compared natural selection pressure affecting immune-relevant and neutral markers of the Atlantic salmon (Salmo salar L.). The genetic loci associated with immune function were under stronger selective pressure compared to neutral markers. Pathogen-driven selection is additionally indicated by the existing correlation between immune loci (EST-markers and MHCII) allele frequencies and population susceptibility to the parasite Gyrodactylus salaris, along with water salinity and temperature. All immune markers were informative, indicating EST-loci might be used for studies of natural selection. Importantly, natural selection itself might be used as a “marker” while searching for genes responsible for host immune response.