Dairy cattle evaluated for immune responses and identified as high responders are known to have a lower occurrence of economically important diseases, including mastitis, metritis, ketosis, and retained placenta. These high immune responders have also been shown to make more antibody following vaccination and to have improved milk and colostrum quality. Therefore, breeding for improved immune response is expected to have several benefits in the dairy industry. However, a concern of such an approach to improve animal health is the potential cost of lost production due to an allocation of host resources to mount a robust immune response. The objective of this study was to evaluate early- and late-lactation production parameters in cattle classified as having high, average, or low estimated breeding values (EBV) for cell-mediated (CMIR), antibody-mediated (AMIR), and overall immune responses. A total of 561 cows from 6 herds were phenotyped for immune response and ranked based on EBV for CMIR and AMIR. A linear animal model was used to evaluate differences in milk, fat, and protein yields among immune response groups, and a regression analysis was conducted based on immune response EBV. Overall, no difference in production parameters was found based on immune response rank; however, some positive relationships with immune response EBV were found, suggesting that breeding for enhanced immune responsiveness as a prophylactic approach to improve animal health would not come at the cost of lost production.