The influence of dietary protein supply on the nutritional penalty associated with the acquisition phase of the immune response to gastrointestinal nematodes in lambs was investigated. Groups of lambs were offered either a low-protein diet (L; 62 g metabolizable protein (MP)/kg dry matter (DM)) or high-protein diet (H; 95 g MP/kg DM) while being either infected with the equivalent of 2.000 L3 Trichostrongylus colubriformis/day (IF), similarly infected and concurrently immuno-suppressed with methylprednisolone acetate (ISIF), immuno-suppressed only (IS) or kept as uninfected controls (C). Body composition of all animals was measured on days −8 and 76 of infection using X-ray computed tomography. Temporal changes in serum phosphate and serum albumin concentrations, which provided an indicator of pathological damage, in addition to patterns of total daily nematode egg excretion and comparative worm burdens at slaughter indicated that a protective immune response was developed in H-IF, but not L-IF, H-ISIF or L-ISIF groups. Compared to their respective non-infected controls, the gross efficiency of use of metabolizable energy (ME) for net energy (NE) deposition in the carcass was reduced by 0.23 in H-IF (P < 0.05), 0.13 in H-ISIF (P > 0.05), 0.49 in L-IF (P < 0.01) and 0.23 in L-ISIF (P > 0.05). It is concluded that the reduction in ME utilization and reduced performance, which can be attributed to the immunological response, are lessened in animals offered a high-protein diet. Furthermore, evidence is presented to indicate a possible association between T. colubriformis L3 IgA antibody production and loss of performance in lambs infected with this nematode.