Nutrition is critical to immune defence and parasite resistance, which not only affects individual organisms, but also has profound ecological and evolutionary consequences. Nutrition and immunity are complex traits that interact via multiple direct and indirect pathways, including the direct effects of nutrition on host immunity but also indirect effects mediated by the host's microbiota and pathogen populations. The challenge remains, however, to capture the complexity of the network of interactions that defines nutritional immunology. The aim of this paper is to discuss the recent findings in nutritional research in the context of immunological studies. By taking examples from the entomological literature, we argue that insects provide a powerful tool for examining the network of interactions between nutrition and immunity due to their tractability, short lifespan and ethical considerations. We describe the relationships between dietary composition, immunity, disease and microbiota in insects, and highlight the importance of adopting an integrative and multi-dimensional approach to nutritional immunology.