As anthelmintic resistance is now widespread in gastro-intestinal nematodes (GIN), genetic selection of sheep for a better resistance to GIN infection is increasingly considered as an alternative strategy. One possibility for this is to select breeding animals based on their responses to experimental infection. To analyze the effectiveness of this strategy and its potential effects on growth traits, we divergently selected sheep of the Romane meat breed based on their response to Haemonchus contortus experimental infections. A total of 91 naïve female lambs of the second generation (51 from the resistant line and 40 from the susceptible line) were successively challenged with 3,500 larvae and 10,000 larvae of H. contortus at 3 to 5 months of age. In all lambs, we measured fecal egg count (FEC), hematocrit, weight, back fat and muscle thickness at the beginning and at the end of the second infection, and twice a week during the second infection for the 42 most divergent lambs. Lambs from the S line excreted on average ten times more eggs than those from the R line during the second infection. Although growth in body mass did not differ between lines, growth in fat thickness was 20% higher in the S line than in the R line. Overall, selection for resistance to H. contortus based on experimental infestation apparently resulted in highly effective immune response in growing female lambs but may compromise fat deposition, suggesting a potential energetic cost of immunity against GIN infection.