The beneficial acclimation hypothesis posits that acclimation improves the physiological performance of an organism under a particular set of environmental conditions. When temperature decreases, insect performance is affected by cold; however, it may also be affected by co-occurring stressors, such as pathogens. Thus, thermal acclimation may occur in multiple systems, including physiological and immune, to compensate for both the direct and indirect effects of a change in temperature. We hypothesized that cold and pathogen stress challenge insects at low temperatures and predicted that cold acclimation would simultaneously increase the low-temperature performance of physiological and immune systems. We acclimated spring field crickets, Gryllus veletis, to 6 °C or 25 °C and tested both physiological performance (e.g. CTmin) and low-temperature performance of the immune system across a range of temperatures (0.5 °C to 30 °C). We found that cold acclimation improved the locomotor performance of insects at low temperatures, in agreement with the beneficial acclimation hypothesis. Conversely, cold acclimation did not improve low-temperature performance of the immune system. Further, particular components of the immune system were deactivated at low temperatures, following cold acclimation. This suggests that insects do not experience a predictable immune challenge in the cold and that the immune system may trade-off with other systems at low temperatures. We propose that exposure to acclimation conditions can result in varied responses within an individual, including beneficial acclimation, activation, or deactivation of different physiological systems, which reflects their relative importance under a new set of environmental conditions.