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Winter is accompanied by multiple stressors, and the interactions between cold and pathogen stress potentially determine the overwintering success of insects. Thus, it is necessary to explore the thermal performance of the insect immune system. We cold-acclimated spring field crickets, Gryllus veletis, to 6 °C for 7 days and measured the thermal performance of potential (lysozyme and phenoloxidase activity) and realised (bacterial clearance and melanisation) immune responses. Cold acclimation decreased the critical thermal minimum from -0.5 ± 0.25 to -2.1 ± 0.18 °C, and chill coma recovery time after 72 h at -2 °C from 16.8 ± 4.9 to 5.2 ± 2.0 min. Measures of both potential and realised immunity followed a typical thermal performance curve, decreasing with decreasing temperature. However, cold acclimation further decreased realised immunity at low, but not high, temperatures; effectively, immune activity became paradoxically specialised to higher temperatures. Thus, cold acclimation induced mismatched thermal responses between locomotor and immune systems, as well as within the immune system itself. We conclude that cold acclimation in insects appears to preferentially improve cold tolerance over whole-animal immune performance at low temperatures, and that the differential thermal performance of physiological responses to multiple pressures must be considered when predicting ectotherms' response to climate change.