The genetic covariation among different traits may cause the appearance of correlated response to selection on multivariate phenotypes. Genes responsible for the expression of melanin-based color traits are also involved in other important physiological functions such as immunity and metabolism by pleiotropy, suggesting the possibility of multivariate evolution. However, little is known about the relationship between melanin coloration and these functions at the additive genetic level in wild vertebrates. From a multivariate perspective, we simultaneously explored inheritance and selection of melanin coloration, body mass and phytohemagglutinin (PHA)-mediated immune response by using long-term data over an 18-year period collected in a wild population of the common kestrel Falco tinnunculus. Pedigree-based quantitative genetic analyses showed negative genetic covariance between melanin-based coloration and body mass in male adults and positive genetic covariance between body mass and PHA-mediated immune response in fledglings as predicted by pleiotropic effects of melanocortin receptor activity. Multiple selection analyses showed an increased fitness in male adults with intermediate phenotypic values for melanin color and body mass. In male fledglings, there was evidence for a disruptive selection on rump gray color, but a stabilizing selection on PHA-mediated immune response. Our results provide an insight into the evolution of multivariate traits genetically related with melanin-based coloration. The differences in multivariate inheritance and selection between male and female kestrels might have resulted in sexual dimorphism in size and color. When pleiotropic effects are present, coloration can evolve through a complex pathway involving correlated response to selection on multivariate traits.