Immune system functioning and maintenance entails costs which may limit investment into other processes such as reproduction. Yet, the proximate mechanisms and 'currencies' mediating the costs of immune responses remain elusive. In vertebrates, up-regulation of the innate immune system is associated with rapid phagocytic production of pro-oxidant molecules (so-called 'oxidative burst' responses). Oxidative burst responses are intended to eliminate pathogens but may also constitute an immunopathological risk as they may induce oxidative damage to self cells. To minimize the risk of infection and, at the same time, damage to self, oxidative burst activity must be carefully balanced. The current levels of pro- and antioxidants (i.e. the individual oxidative state) is likely to be a critical factor affecting this balance, but this has not yet been evaluated. Here, we perform an experiment on wild-caught painted dragon lizards (Ctenophorus pictus) to examine how the strength of immune-stimulated oxidative burst responses of phagocytes in whole blood relates to individual oxidative status under control conditions and during an in vivo immune challenge with Escherichia coli lipopolysaccharide (LPS). Under control conditions, oxidative burst responses were not predicted by the oxidative status of the lizards. LPS-injected individuals showed a strong increase in pro-oxidant levels and a strong decrease in antioxidant levels compared to control individuals demonstrating a shift in the pro-/antioxidant balance. Oxidative burst responses in LPS-injected lizards were positively related to post-challenge extracellular pro-oxidants (reflecting the level of cell activation) and negatively related to pre-challenge levels of mitochondrial superoxide (suggesting an immunoregulatory effect of this pro-oxidant). LPS-challenged males had higher oxidative burst responses than females, and in females oxidative burst responses seemed to depend more strongly on antioxidant status than in males. Our results confirm the idea that oxidative state may constrain the activity of the innate immune system. These constraints may have important consequences for the way selection acts on pro-oxidant generating processes.