The multicolored Asian lady beetle, Harmonia axyridis (Pallas) (Coleoptera: Coccinellidae), is an invasive species in North America that has a low susceptibility to indigenous natural enemies. We investigated the role of the immune system of H. axyridis in its resistance to North American population of the hymenopteran parasitoid Dinocampus coccinellae Schrank. An ultrastructural study of adult H. axyridis hemocytes under electron and light microscopy identified five different cellular types: plasmatocytes, granular hemocytes I, granular hemocytes II, oenocytoids, and spherule cells. Only granular hemocytes II and plasmatocytes are involved in the nodulation of bacteria and encapsulation of parasitoid eggs. Injection of Sephadex beads in H. axyridis adults induces an innate immune response and results in complete encapsulation of ≈28% of the beads after 24 h and 81% after 5 d. When H. axyridis was parasitized by D. coccinellae, we observed a decrease in the encapsulation response, and this pattern was inversely related to the number of parasitoid eggs in the H. axyridis hemolymph. The injection of polydnaviruses by D. coccinellae females and the multiple target hypotheses could both explain the encapsulation rate decreasing with increasing parasitoid egg load. Our results suggest that the immune system of H. axyridis could favor its escape from internal developing natural enemies indigenous to North America.