Background As pathogens that circumvent the host immune response are favoured by selection, so are host alleles that reduce parasite load. Such evolutionary processes leave their signature on the genes involved. Deciphering modes of selection operating on immune genes might reveal the nature of host-pathogen interactions and factors that govern susceptibility in host populations. Such understanding would have important public health implications. Methodology/Findings We analyzed polymorphisms in four mosquito immune genes (SP14D1, GNBP, defensin, and gambicin) to decipher selection effects, presumably mediated by pathogens. Using samples of Anopheles arabiensis, An. quadriannulatus and four An. gambiae populations, as well as published sequences from other Culicidae, we contrasted patterns of polymorphisms between different functional units of the same gene within and between populations. Our results revealed selection signatures operating on different time scales. At the most recent time scale, within-population diversity revealed purifying selection. Between populations and between species variation revealed reduced differentiation (GNBP and gambicin) at coding vs. noncoding- regions, consistent with balancing selection. McDonald-Kreitman tests between An. quadriannulatus and both sibling species revealed higher fixation rate of synonymous than nonsynonymous substitutions (GNBP) in accordance with frequency dependent balancing selection. At the longest time scale (>100 my), PAML analysis using distant Culicid taxa revealed positive selection at one codon in gambicin. Patterns of genetic variation were independent of exposure to human pathogens. Significance and Conclusions Purifying selection is the most common form of selection operating on immune genes as it was detected on a contemporary time scale on all genes. Selection for “hypervariability” was not detected, but negative balancing selection, detected at a recent evolutionary time scale between sibling species may be rather common. Detection of positive selection at the deepest evolutionary time scale suggests that it occurs infrequently, possibly in association with speciation events. Our results provided no evidence to support the hypothesis that selection was mediated by pathogens that are transmitted to humans.