Genotype × environment interactions can facilitate coexistence of locally adapted specialists. Interactions evolve if adaptation to one environment trades off with performance in others. We investigated whether evolution on one host genotype traded off with performance on others in long-term experimental populations of different genotypes of the protozoan Paramecium caudatum, infected with the bacterial parasite Holospora undulata. A total of nine parasite selection lines evolving on three host genotypes and the ancestral parasite were tested in a cross-infection experiment. We found that evolved parasites produced more infections than did the ancestral parasites, both on host genotypes they had evolved on (positive direct response to selection) and on genotypes they had not evolved on (positive correlated response to selection). On two host genotypes, a negative relationship between direct and correlated responses indicated pleiotropic costs of adaptation. On the third, a positive relationship suggested cost-free adaptation. Nonetheless, on all three hosts, resident parasites tended to be superior to the average nonresident parasite. Thus genotype specificity (i.e., patterns of local adaptation) may evolve without costs of adaptation, as long as direct responses to selection exceed correlated responses.