Studies of DNA polymorphism have shown that some immune system genes of mammals and plants are exceptionally diverse, indicating that coevolution between these taxa and their parasites mediates positive selective sweeps and/or balancing selection. The genes of the arthropod immune system remain comparatively unstudied. We isolated two putative immune system genes from the cladoceran crustacean Daphnia and examined DNA sequence diversity. For one gene, encoding a putative gram-negative binding protein, we found evidence of only purifying selection, indicating that this gene is under strong functional constraint and that selection acts to eliminate amino acid variation. For another gene, encoding a putative alpha-2-macroglobulin, we found evidence of positive selection, indicating the possible involvement of this gene in a host-parasite arms race. We discuss the assumed function of these genes and offer speculation regarding which components of the arthropod immune system might experience diversifying adaptive evolution.