Parasitoid wasps are major causes of mortality of many species, and therefore traits related to host immune defence are usually favoured by natural selection. One powerful approach to detect functionally important genes under natural selection is through the analysis of directional selection acting upon protein-coding gene sequences across different species. Here, we investigated patterns of positive selection across three closely related leaf beetle species with different immune defence capacity against a shared parasitoid wasp using a Bayesian approach for the McDonald–Kreitman test. Focusing on single-copy orthologs for Coleoptera, as well as on candidate immune related genes, we detected species-specific positive selection on coding regions in each of the closely related Galerucella beetle species. Results indicated that more immune genes had experienced positive selection in the species with the greatest immunocompetence (G. pusilla) against parasitoid wasps, while almost no immune genes were under positive selection in the species with the least immunocompetence (G. calmariensis).