An adaptive immune response is usually initiated only if a major histocompatibility complex (MHC) molecule presents pathogen-derived peptides to T-cells. Every MHC molecule can present only peptides that match its peptide-binding groove. Thus, it seems advantageous for an individual to express many different MHC molecules to be able to resist many different pathogens. However, although MHC genes are the most polymorphic genes of vertebrates, each individual has only a very small subset of the diversity at the population level. This is an evolutionary paradox. We provide an overview of the current data on infection studies and mate-choice experiments and conclude that overall evidence suggests that intermediate intra-individual MHC diversity is optimal. Selective forces that may set an upper limit to intra-individual MHC diversity are discussed. An updated mathematical model based on recent findings on T-cell selection can predict the natural range of intra-individual MHC diversity. Thus, the aim of our review is to evaluate whether the number of MHC alleles usually present in individuals may be optimal to balance the advantages of presenting an increased range of peptides versus the disadvantages of an increased loss of T-cells.