Insects are exposed to a wide range of microorganisms (bacteria, fungi, parasites and viruses) and have interconnected powerful immune reactions. Although insects lack an acquired immune system they have well-developed innate immune defences that allow a general and rapid response to infectious agents. Over the last few decades we have observed a dramatic increase in the knowledge of insect innate immunity, which relies on both humoral and cellular responses. However, innate reactions to natural insect pathogens and insect-transmitted pathogens, such as parasites, still remain poorly understood. In this review, we briefly introduce the general immune system of insects and highlight our current knowledge of these reactions focusing on the interactions of Trypanosoma rangeli with Rhodnius prolixus, an important model for innate immunity investigation.