Many mosquito species are naturally polymorphic for their abilities to transmit parasites, a feature which is of great interest for controlling vector-borne disease. Aedes aegypti, the primary vector of dengue and yellow fever and a laboratory model for studying lymphatic filariasis, is genetically variable for its capacity to harbor the filarial nematode Brugia malayi. The genome of Ae. aegypti is large and repetitive, making genome resequencing difficult and expensive. We designed exome captures to target protein-coding regions of the genome, and used association mapping in a wild Kenyan population to identify a single, dominant, sex-linked locus underlying resistance. This falls in a region of the genome where a resistance locus was previously mapped in a line established in 1936, suggesting that this polymorphism has been maintained in the wild for the at least 80 years. We then crossed resistant and susceptible mosquitoes to place both alleles of the gene into a common genetic background, and used RNA-seq to measure the effect of this locus on gene expression. We found evidence for Toll, IMD, and JAK-STAT pathway activity in response to early stages of B. malayi infection when the parasites are beginning to die in the resistant genotype. We also found that resistant mosquitoes express anti-microbial peptides at the time of parasite-killing, and that this expression is suppressed in susceptible mosquitoes. Together, we have found that a single resistance locus leads to a higher immune response in resistant mosquitoes, and we identify genes in this region that may be responsible for this trait.