When taking a blood meal on a person infected with malaria, female Anopheles gambiae mosquitoes, the major vector of human malaria, acquire nutrients that will activate egg development (oogenesis) in their ovaries. Simultaneously, they infect themselves with the malaria parasite. On traversing the mosquito midgut epithelium, invading Plasmodium ookinetes are met with a potent innate immune response predominantly controlled by mosquito blood cells. Whether the concomitant processes of mosquito reproduction and immunity affect each other remains controversial. Here, we show that proteins that deliver nutrients to maturing mosquito oocytes interfere with the antiparasitic response. Lipophorin (Lp) and vitellogenin (Vg), two nutrient transport proteins, reduce the parasite-killing efficiency of the antiparasitic factor TEP1. In the absence of either nutrient transport protein, TEP1 binding to the ookinete surface becomes more efficient. We also show that Lp is required for the normal expression of Vg, and for later Plasmodium development at the oocyst stage. Furthermore, our results uncover an inhibitory role of the Cactus/REL1/REL2 signaling cassette in the expression of Vg, but not of Lp. We reveal molecular links that connect reproduction and immunity at several levels and provide a molecular basis for a long-suspected trade-off between these two processes.