Recent historical periods in Europe have been characterized by severe epidemic events such as plague, smallpox, or influenza that shaped the immune system of modern populations. This study aims to identify signals of convergent evolution of the immune system, based on the peculiar demographic history in which two populations with different genetic ancestry, Europeans and Rroma (Gypsies), have lived in the same geographic area and have been exposed to similar environments, including infections, during the last millennium. We identified several genes under evolutionary pressure in European/Romanian and Rroma/Gipsy populations, but not in a Northwest Indian population, the geographic origin of the Rroma. Genes in the immune system were highly represented among those under strong evolutionary pressures in Europeans, and infections are likely to have played an important role. For example, Toll-like receptor 1 (TLR1)/TLR6/TLR10 gene cluster showed a strong signal of adaptive selection. Their gene products are functional receptors for Yersinia pestis, the agent of plague, as shown by overexpression studies showing induction of proinflammatory cytokines such as TNF, IL-1β, and IL-6 as one possible infection that may have exerted evolutionary pressures. Immunogenetic analysis showed that TLR1, TLR6, and TLR10 single-nucleotide polymorphisms modulate Y. pestis-induced cytokine responses. Other infections may also have played an important role. Thus, reconstruction of evolutionary history of European populations has identified several immune pathways, among them TLR1/TLR6/TLR10, as being shaped by convergent evolution in two human populations with different origins under the same infectious environment.