Finding out whether Plasmodium spp. are coevolving with their vertebrate hosts is of both theoretical and applied interest and can influence our understanding of the effects and dynamics of malaria infection. In this study, we tested for local adaptation as a signature of coevolution between malaria blood parasites, Plasmodium spp. and its host, the great tit, Parus major. We conducted a reciprocal transplant experiment of birds in the field, where we exposed birds from two populations to Plasmodium parasites. This experimental set-up also provided a unique opportunity to study the natural history of malaria infection in the wild and to assess the effects of primary malaria infection on juvenile birds. We present three main findings: i) there was no support for local adaptation; ii) there was a male-biased infection rate; iii) infection occurred towards the end of the summer and differed between sites. There were also site-specific effects of malaria infection on the hosts. Taken together, we present one of the few experimental studies of parasite-host local adaptation in a natural malaria system, and our results shed light on the effects of avian malaria infection in the wild.