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During their life cycles, microbes infecting mosquitoes encounter components of the mosquito anti-microbial innate immune defenses. Many of these immune responses also mediate susceptibility to malaria parasite infection. In West Africa, the primary malaria vectors are Anopheles coluzzii and A. gambiae sensu stricto, which is subdivided into the Bamako and Savanna sub-taxa. Here, we performed whole genome comparisons of the three taxa as well as genotyping of 333 putatively functional SNPs located in 58 immune signaling genes. Genome data support significantly higher differentiation in immune genes compared with a randomly selected set of non-immune genes among the three taxa (permutation test p < 0.001). Among the 58 genes studied, the majority had one or more segregating mutations (72.9%) that were significantly diverged among the three taxa. Genes detected to be under selection include MAP2K4 and Raf. Despite the genome-wide distribution of immune genes, a high level of linkage disequilibrium (r2 > 0.8) was detected in over 27% of SNP pairs. We discuss the potential role of immune gene divergence as adaptations to the different larval habitats associated with A. gambiae taxa and as a potential force driving ecological speciation in this group of mosquitoes.