Linking measures of immune function with infection, and ultimately, host and parasite fitness is a major goal in the field of ecological immunology. In this study, we tested for the presence and timing of a cellular immune response in the crustacean Daphnia magna following exposure to its sterilizing endoparasite Pasteuria ramosa. We found that D. magna possesses two cell types circulating in the haemolymph: a spherical one, which we call a granulocyte and an irregular-shaped amoeboid cell first described by Metchnikoff over 125 years ago. Daphnia magna mounts a strong cellular response (of the amoeboid cells) just a few hours after parasite exposure. We further tested for, and found, considerable genetic variation for the magnitude of this cellular response. These data fostered a heuristic model of resistance in this naturally coevolving host–parasite interaction. Specifically, the strongest cellular responses were found in the most susceptible hosts, indicating resistance is not always borne from a response that destroys invading parasites, but rather stems from mechanisms that prevent their initial entry. Thus, D. magna may have a two-stage defence—a genetically determined barrier to parasite establishment and a cellular response once establishment has begun.