Pathogen communities can vary substantially between geographical regions due to different environmental conditions. However, little is known about how host immune systems respond to environmental variation across macro-ecological and evolutionary scales. Here, we select 37 species of songbird that inhabit diverse environments, including African and Palaearctic residents and Afro-Palaearctic migrants, to address how climate and habitat have influenced the evolution of key immune genes, the major histocompatibility complex class I (MHC-I). Resident species living in wetter regions, especially in Africa, had higher MHC-I diversity than species living in drier regions, irrespective of the habitats they occupy. By contrast, no relationship was found between MHC-I diversity and precipitation in migrants. Our results suggest that the immune system of birds has evolved greater pathogen recognition in wetter tropical regions. Furthermore, evolving transcontinental migration appears to have enabled species to escape wet, pathogen-rich areas at key periods of the year, relaxing selection for diversity in immune genes and potentially reducing immune system costs.