In humans and other hierarchical species, social status is tightly linked to variation in health and fitness-related traits. Experimental manipulations of social status in female rhesus macaques suggest that this relationship is partially explained by status effects on immune gene regulation. However, social hierarchies are established and maintained in different ways across species: While some are based on kin-directed nepotism, others emerge from direct physical competition. We investigated how this variation influences the relationship between social status and immune gene regulation in wild baboons, where hierarchies in males are based on fighting ability but female hierarchies are nepotistic. We measured rank-related variation in gene expression levels in adult baboons of both sexes at baseline and in response to ex vivo stimulation with the bacterial endotoxin lipopolysaccharide (LPS). We identified >2,000 rank-associated genes in males, an order of magnitude more than in females. In males, high status predicted increased expression of genes involved in innate immunity and preferential activation of the NF-κB-mediated proinflammatory pathway, a pattern previously associated with low status in female rhesus macaques. Using Mendelian randomization, we reconcile these observations by demonstrating that high status-associated gene expression patterns are precursors, not consequences, of high social status in males, in support of the idea that physiological condition determines who attains high rank. Together, our work provides a test of the relationship between social status and immune gene regulation in wild primates. It also emphasizes the importance of social context in shaping the relationship between social status and immune function.