Migration tends to oppose the effects of divergent natural selection among populations. Numerous theoretical and empirical studies have demonstrated that this migration–selection balance constrains genetic divergence among populations. In contrast, relatively few studies have examined immigration's effects on fitness and natural selection within recipient populations. By constraining local adaptation, migration can lead to reduced fitness, known as a “migration load,” which in turn causes persistent natural selection. We develop a simple two-island model of migration–selection balance that, although very general, also reflects the natural history of Timema cristinae walking-stick insects that inhabit two host plant species that favor different cryptic color patterns. We derive theoretical predictions about how migration rates affect the level of maladaptation within populations (measured as the frequency of less-cryptic color-pattern morphs), which in turn determines the selection differential (the within-generation morph frequency change). Using data on color morph frequencies from 25 natural populations, we confirm previous results showing that maladaptation is higher in populations receiving more immigrants. We then present novel evidence that this increased maladaptation leads to larger selection differentials, consistent with our model. Our results provide comparative evidence that immigration elevates the variance in fitness, which in turn leads to larger selection differentials, consistent with Fisher's Theorem of Natural Selection. However, we also find evidence that recurrent adult migration between parapatric populations may tend to obscure the effects of selection.