Despite the potential impact on prey fitness and predator-prey interactions, most studies of predation risk ignore physiological responses and their dependence upon food level and sex. Therefore, we reared male and female larvae of the damselfly Lestes viridis under predator stress (dragonfly larvae) at high and low food levels, and subsequently scored for important variables of insect immune defence (i.e. phenoloxidase) and antioxidant defence [i.e. superoxide dismutase, and catalase (CAT)]. Under predation risk, larvae did not decrease growth rate or immune defence, and only slightly reduced food intake in the high food treatment, probably because of time stress, i.e. little time available to complete the larval development. However, larvae facing predator stress did show an upregulation of antioxidant enzymes. This upregulation was dependent upon food level for CAT and both food level and sex for SOD, consistent with energetic constraints and sex differences in the link between longevity and adult fitness. Our results illustrate that predator stress can influence life history, behavioural and physiological responses differentially and in a context-dependent way. This implies that non-consumptive physiological effects of predators on their prey show independent yet similar complexities in behavioural and life history response variables. In general, our results advocate that mechanistic studies on predator-prey interactions may benefit from including physiological variables.