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Two categories of immune responses—innate and adaptive immunity—have both polygenic backgrounds and a significant environmental component. The goal of the reported study was to define candidate genes and mutations for the immune traits of interest in chickens using machine learning–based sensitivity analysis for single-nucleotide polymorphisms (SNPs) located in candidate genes defined in quantitative trait loci regions. Here the adaptive immunity is represented by the specific antibody response toward keyhole limpet hemocyanin (KLH), whereas the innate immunity was represented by natural antibodies toward lipopolysaccharide (LPS) and lipoteichoic acid (LTA). The analysis consisted of 3 basic steps: an identification of candidate SNPs via feature selection, an optimisation of the feature set using recursive feature elimination, and finally a gene-level sensitivity analysis for final selection of models. The predictive model based on 5 genes (MAPK8IP3 CRLF3, UNC13D, ILR9, and PRCKB) explains 14.9% of variance for KLH adaptive response. The models obtained for LTA and LPS use more genes and have lower predictive power, explaining respectively 7.8 and 4.5% of total variance. In comparison, the linear models built on genes identified by a standard statistical analysis explain 1.5, 0.5, and 0.3% of variance for KLH, LTA, and LPS response, respectively. The present study shows that machine learning methods applied to systems with a complex interaction network can discover phenotype-genotype associations with much higher sensitivity than traditional statistical models. It adds contribution to evidence suggesting a role of MAPK8IP3 in the adaptive immune response. It also indicates that CRLF3 is involved in this process as well. Both findings need additional verification.