The Roma people are the largest transnational ethnic minority in Europe and can be considered the last human migration of South Asian origin into the continent. They left Northwest India approximately 1,000 years ago, reaching the Balkan Peninsula around the twelfth century and Romania in the fourteenth century. Here, we analyze whole-genome sequencing data of 40 Roma and 40 non-Roma individuals from Romania. We performed a genome-wide scan of selection comparing Roma, their local host population, and a Northwestern Indian population, to identify the selective pressures faced by the Roma mainly after they settled in Europe. We identify under recent selection several pathways implicated in immune responses, among them cellular metabolism pathways known to be rewired after immune stimulation. We validated the interaction between PIK3-mTOR-HIF-1α and cytokine response influenced by bacterial and fungal infections. Our results point to a significant role of these pathways for host defense against the most prevalent pathogens in Europe during the last millennium.