The purpose of mounting an immune response is to destroy pathogens, but this response comes at a physiological cost, including the generation of oxidative damage. However, many studies on the effects of immune challenges employ a single high dose of a simulated infection, meaning that the consequences of more mild immune challenges are poorly understood. We tested whether the degree of immunological challenge in tree swallows (Tachycineta bicolor) affects oxidative physiology and body mass, and whether these metrics correlate with parasitic nest mite load. We injected 14 day old nestlings with 0, 0.01, 0.1 or 1 mg lipopolysaccharide (LPS) per kg body mass, then collected a blood sample 24 h later to quantify multiple physiological metrics, including oxidative damage (i.e. d-ROMs), circulating amounts of triglyceride and glycerol, and levels of the acute phase protein haptoglobin. After birds had fledged, we identified and counted parasitic nest mites (Dermanyssus spp. and Ornithonyssus spp.). We found that only nestlings injected with 1 mg LPS kg−1 body mass, which is a common dosage in ecoimmunological studies, lost more body mass than individuals from other treatment groups. However, every dose of LPS resulted in a commensurate increase in oxidative damage. Parasitic mite abundance had no effect on oxidative damage across treatments. The amount of oxidative damage correlated with haptoglobin levels, suggesting compensatory mechanisms to limit self-damage during an immune response. We conclude that while only the highest-intensity immune challenges resulted in costs related to body mass, even low-intensity immune challenges result in detectable increases in oxidative damage.