Nucleotide variation patterns across species are shaped by the processes of natural selection, including exposure to environmental pathogens. We examined patterns of genetic variation in two sister species, Anopheles gambiae and Anopheles coluzzii, both efficient natural vectors of human malaria in West Africa. We used the differentiation signature displayed by a known coordinate selective sweep of immune genes APL1 and TEP1 in A. coluzzii to design a population genetic screen trained on the sweep, classified a panel of 26 potential immune genes for concordance with the signature, and functionally tested their immune phenotypes. The screen results were strongly predictive for genes with protective immune phenotypes: genes meeting the screen criteria were significantly more likely to display a functional phenotype against malaria infection than genes not meeting the criteria (p = 0.0005). Thus, an evolution-based screen can efficiently prioritize candidate genes for labor-intensive downstream functional testing, and safely allow the elimination of genes not meeting the screen criteria. The suite of immune genes with characteristics similar to the APL1-TEP1 selective sweep appears to be more widespread in the A. coluzzii genome than previously recognized. The immune gene differentiation may be a consequence of adaptation of A. coluzzii to new pathogens encountered in its niche expansion during the separation from A. gambiae, although the role, if any of natural selection by Plasmodium is unknown. Application of the screen allowed identification of new functional immune factors, and assignment of new functions to known factors. We describe biochemical binding interactions between immune proteins that underlie functional activity for malaria infection, which highlights the interplay between pathogen specificity and the structure of immune complexes. We also find that most malaria-protective immune factors display phenotypes for either human or rodent malaria, with broad specificity a rarity.