diff --git a/src/Cookie.php b/src/Cookie.php
index e446e58..f150d81 100644
--- a/src/Cookie.php
+++ b/src/Cookie.php
@@ -174,6 +174,8 @@ public function getExpires() : int
     }
 
     /**
+     * @deprecated use withExpires()
+     *
      * Sets the cookie expiry time.
      *
      * @param int $expires The unix timestamp at which the cookie expires, zero for a transient cookie.
@@ -187,6 +189,14 @@ public function setExpires(int $expires) : Cookie
         return $this;
     }
 
+    public function withExpires(int $expires): Cookie
+    {
+        $that = clone $this;
+        $that->expires = $expires;
+
+        return $that;
+    }
+
     /**
      * @return string|null
      */
@@ -196,21 +206,27 @@ public function getPath() : ?string
     }
 
     /**
+     * @deprecated use withPath()
+     *
      * @param string|null $path
      *
      * @return static This cookie.
      */
     public function setPath(?string $path) : Cookie
     {
-        if ($path !== null) {
-            $path = (string) $path;
-        }
-
         $this->path = $path;
 
         return $this;
     }
 
+    public function withPath(?string $path): Cookie
+    {
+        $that = clone $this;
+        $that->path = $path;
+
+        return $that;
+    }
+
     /**
      * @return string|null
      */
@@ -220,21 +236,27 @@ public function getDomain() : ?string
     }
 
     /**
+     * @deprecated use withDomain()
+     *
      * @param string|null $domain
      *
      * @return static This cookie.
      */
     public function setDomain(?string $domain) : Cookie
     {
-        if ($domain !== null) {
-            $domain = (string) $domain;
-        }
-
         $this->domain = $domain;
 
         return $this;
     }
 
+    public function withDomain(?string $domain): Cookie
+    {
+        $that = clone $this;
+        $that->domain = $domain;
+
+        return $that;
+    }
+
     /**
      * @return bool
      */
@@ -252,6 +274,8 @@ public function isSecure() : bool
     }
 
     /**
+     * @deprecated use withSecure()
+     *
      * Sets whether this cookie should only be sent over a secure connection.
      *
      * @param bool $secure True to only send over a secure connection, false otherwise.
@@ -265,6 +289,14 @@ public function setSecure(bool $secure) : Cookie
         return $this;
     }
 
+    public function withSecure(bool $secure): Cookie
+    {
+        $that = clone $this;
+        $that->secure = $secure;
+
+        return $that;
+    }
+
     /**
      * Returns whether to limit the scope of this cookie to HTTP requests.
      *
@@ -276,6 +308,8 @@ public function isHttpOnly() : bool
     }
 
     /**
+     * @deprecated use withHttpOnly()
+     *
      * Sets whether to limit the scope of this cookie to HTTP requests.
      *
      * Set to true to instruct the user agent to omit the cookie when providing access to
@@ -295,6 +329,14 @@ public function setHttpOnly(bool $httpOnly) : Cookie
         return $this;
     }
 
+    public function withHttpOnly(bool $httpOnly): Cookie
+    {
+        $that = clone $this;
+        $that->httpOnly = $httpOnly;
+
+        return $that;
+    }
+
     /**
      * Returns whether this cookie has expired.
      *
diff --git a/src/Message.php b/src/Message.php
index cc49703..388bde8 100644
--- a/src/Message.php
+++ b/src/Message.php
@@ -42,6 +42,8 @@ public function getProtocolVersion() : string
     }
 
     /**
+     * @deprecated use withProtocolVersion()
+     *
      * @param string $version
      *
      * @return static
@@ -53,6 +55,17 @@ public function setProtocolVersion(string $version) : Message
         return $this;
     }
 
+    /**
+     * @return static
+     */
+    public function withProtocolVersion(string $version): Message
+    {
+        $that = clone $this;
+        $that->protocolVersion = $version;
+
+        return $that;
+    }
+
     /**
      * Gets all message headers.
      *
@@ -148,12 +161,14 @@ public function getHeaderAsArray(string $name) : array
     }
 
     /**
+     * @deprecated use withHeader()
+     *
      * Sets a header, replacing any existing values of any headers with the same case-insensitive name.
      *
      * The header value MUST be a string or an array of strings.
      *
-     * @param string       $name
-     * @param string|array $value
+     * @param string          $name
+     * @param string|string[] $value
      *
      * @return static
      */
@@ -166,12 +181,29 @@ public function setHeader(string $name, $value) : Message
     }
 
     /**
+     * @param string|string[] $value
+     *
+     * @return static
+     */
+    public function withHeader(string $name, $value): Message
+    {
+        $that = clone $this;
+
+        $name = strtolower($name);
+        $that->headers[$name] = is_array($value) ? array_values($value) : [$value];
+
+        return $that;
+    }
+
+    /**
+     * @deprecated use withHeaders()
+     *
      * Sets headers, replacing any headers that have already been set on the message.
      *
      * The array keys MUST be a string. The array values must be either a
      * string or an array of strings.
      *
-     * @param array $headers
+     * @param array<string, string|string[]> $headers
      *
      * @return static
      */
@@ -185,10 +217,28 @@ public function setHeaders(array $headers) : Message
     }
 
     /**
+     * @param array<string, string|string[]> $headers
+     *
+     * @return static
+     */
+    public function withHeaders(array $headers): Message
+    {
+        $that = $this;
+
+        foreach ($headers as $name => $value) {
+            $that = $that->withHeader($name, $value);
+        }
+
+        return $that;
+    }
+
+    /**
+     * @deprecated use withAddedHeader()
+     *
      * Appends a header value to any existing values associated with the given header name.
      *
-     * @param string       $name
-     * @param string|array $value
+     * @param string          $name
+     * @param string|string[] $value
      *
      * @return static
      */
@@ -209,6 +259,21 @@ public function addHeader(string $name, $value) : Message
     }
 
     /**
+     * @param string|string[] $value
+     *
+     * @return static
+     */
+    public function withAddedHeader(string $name, $value): Message
+    {
+        $that = clone $this;
+        $that->addHeader($name, $value);
+
+        return $that;
+    }
+
+    /**
+     * @deprecated use withAddedHeaders()
+     *
      * Merges in an associative array of headers.
      *
      * Each array key MUST be a string representing the case-insensitive name
@@ -217,7 +282,7 @@ public function addHeader(string $name, $value) : Message
      * name, or, if a header does not already exist by the given name, then the
      * header is added.
      *
-     * @param array $headers
+     * @param array<string, string|string[]> $headers
      *
      * @return static
      */
@@ -231,6 +296,24 @@ public function addHeaders(array $headers) : Message
     }
 
     /**
+     * @param array<string, string|string[]> $headers
+     *
+     * @return static
+     */
+    public function withAddedHeaders(array $headers): Message
+    {
+        $that = $this;
+
+        foreach ($headers as $name => $value) {
+            $that = $that->withAddedHeader($name, $value);
+        }
+
+        return $that;
+    }
+
+    /**
+     * @deprecated use withoutHeader()
+     *
      * Removes a specific header by case-insensitive name.
      *
      * @param string $name
@@ -245,6 +328,19 @@ public function removeHeader(string $name) : Message
         return $this;
     }
 
+    /**
+     * @return static
+     */
+    public function withoutHeader(string $name) : Message
+    {
+        $that = clone $this;
+
+        $name = strtolower($name);
+        unset($that->headers[$name]);
+
+        return $that;
+    }
+
     /**
      * @return string
      */
@@ -272,6 +368,8 @@ public function getBody() : ?MessageBody
     }
 
     /**
+     * @deprecated use withBody()
+     *
      * Sets the message body.
      *
      * @param MessageBody|null $body
@@ -300,6 +398,18 @@ public function setBody(?MessageBody $body) : Message
         return $this;
     }
 
+    /**
+     * @return static
+     */
+    public function withBody(?MessageBody $body): Message
+    {
+        $that = clone $this;
+
+        $that->setBody($body);
+
+        return $that;
+    }
+
     /**
      * Returns the reported Content-Length of this Message.
      *
diff --git a/src/Request.php b/src/Request.php
index 78dfdcb..ac0c799 100644
--- a/src/Request.php
+++ b/src/Request.php
@@ -7,6 +7,8 @@
 use Brick\Http\Exception\HttpBadRequestException;
 
 /**
+ * @todo make final
+ *
  * Represents an HTTP request received by the server.
  */
 class Request extends Message
@@ -313,6 +315,8 @@ public function getQuery(?string $name = null)
     }
 
     /**
+     * @deprecated use withQuery()
+     *
      * Sets the query parameters.
      *
      * @param array $query The associative array of parameters.
@@ -336,6 +340,15 @@ public function setQuery(array $query) : Request
         return $this;
     }
 
+    public function withQuery(array $query): Request
+    {
+        $that = clone $this;
+
+        $that->setQuery($query);
+
+        return $that;
+    }
+
     /**
      * Returns the post parameter(s).
      *
@@ -353,6 +366,8 @@ public function getPost(?string $name = null)
     }
 
     /**
+     * @deprecated use withPost()
+     *
      * Sets the post parameter.
      *
      * This will set a request body with the URL-encoded data,
@@ -380,6 +395,15 @@ public function setPost(array $post) : Request
         return $this;
     }
 
+    public function withPost(array $post): Request
+    {
+        $that = clone $this;
+
+        $that->setPost($post);
+
+        return $that;
+    }
+
     /**
      * Returns the uploaded file by the given name.
      *
@@ -433,6 +457,8 @@ public function getFiles(?string $name = null) : array
     }
 
     /**
+     * @deprecated use withFiles()
+     *
      * Sets the uploaded files.
      *
      * This will replace the message body, if any, with an empty body.
@@ -459,6 +485,15 @@ public function setFiles(array $files) : Request
         return $this;
     }
 
+    public function withFiles(array $files): Request
+    {
+        $that = clone $this;
+
+        $that->setFiles($files);
+
+        return $that;
+    }
+
     /**
      * @param array $files
      *
@@ -496,6 +531,8 @@ public function getCookie(?string $name = null)
     }
 
     /**
+     * @deprecated use withAddedCookies()
+     *
      * Adds cookies to this request.
      *
      * Existing cookies with the same name will be replaced.
@@ -509,7 +546,18 @@ public function addCookies(array $cookies) : Request
         return $this->setCookies($cookies + $this->cookies);
     }
 
+    public function withAddedCookies(array $cookies): Request
+    {
+        $that = clone $this;
+
+        $that->addCookies($cookies);
+
+        return $that;
+    }
+
     /**
+     * @deprecated use withCookies()
+     *
      * Sets the cookies for this request.
      *
      * All existing cookies will be replaced.
@@ -533,6 +581,15 @@ public function setCookies(array $cookies) : Request
         return $this;
     }
 
+    public function withCookies(array $cookies): Request
+    {
+        $that = clone $this;
+
+        $that->setCookies($cookies);
+
+        return $that;
+    }
+
     /**
      * @param array  $value
      * @param string $path
@@ -574,6 +631,8 @@ public function getMethod() : string
     }
 
     /**
+     * @deprecated use withMethod()
+     *
      * Sets the request method.
      *
      * If the method case-insensitively matches a standard method, it will be converted to uppercase.
@@ -589,6 +648,14 @@ public function setMethod(string $method) : Request
         return $this;
     }
 
+    public function withMethod(string $method): Request
+    {
+        $that = clone $this;
+        $that->method = $that->fixMethodCase($method);
+
+        return $that;
+    }
+
     /**
      * Returns whether this request method matches the given one.
      *
@@ -644,6 +711,8 @@ public function getScheme() : string
     }
 
     /**
+     * @deprecated use withScheme()
+     *
      * Sets the request scheme.
      *
      * @param string $scheme The new request scheme.
@@ -667,6 +736,15 @@ public function setScheme(string $scheme) : Request
         return $this;
     }
 
+    public function withScheme(string $scheme): Request
+    {
+        $that = clone $this;
+
+        $that->setScheme($scheme);
+
+        return $that;
+    }
+
     /**
      * Returns the host name of this request.
      *
@@ -715,6 +793,8 @@ public function isHost(string $host, bool $includeSubDomains = false) : bool
     }
 
     /**
+     * @deprecated use withHost()
+     *
      * Sets the host name of this request.
      *
      * This will update the Host header accordingly.
@@ -730,6 +810,14 @@ public function setHost(string $host) : Request
         return $this->updateHostHeader();
     }
 
+    public function withHost(string $host): Request
+    {
+        $that = clone $this;
+        $that->host = $host;
+
+        return $that->updateHostHeader();
+    }
+
     /**
      * Returns the port number of this request.
      *
@@ -741,6 +829,8 @@ public function getPort() : int
     }
 
     /**
+     * @deprecated use withPort()
+     *
      * Sets the port number of this request.
      *
      * This will update the Host header accordingly.
@@ -756,6 +846,14 @@ public function setPort(int $port) : Request
         return $this->updateHostHeader();
     }
 
+    public function withPort(int $port): Request
+    {
+        $that = clone $this;
+        $that->port = $port;
+
+        return $that->updateHostHeader();
+    }
+
     /**
      * Updates the Host header from the values of host and port.
      *
@@ -800,6 +898,8 @@ public function getPathParts() : array
     }
 
     /**
+     * @deprecated use withPath()
+     *
      * Sets the request path.
      *
      * Example: `/user/profile`
@@ -821,6 +921,18 @@ public function setPath(string $path) : Request
         return $this->updateRequestUri();
     }
 
+    public function withPath(string $path): Request
+    {
+        if (strpos($path, '?') !== false) {
+            throw new \InvalidArgumentException('The request path must not contain a query string.');
+        }
+
+        $that = clone $this;
+        $that->path = $path;
+
+        return $that->updateRequestUri();
+    }
+
     /**
      * Returns the query string.
      *
@@ -836,6 +948,8 @@ public function getQueryString() : string
     }
 
     /**
+     * @deprecated use withQueryString()
+     *
      * Sets the query string.
      *
      * @param string $queryString The new query string.
@@ -844,12 +958,22 @@ public function getQueryString() : string
      */
     public function setQueryString(string $queryString) : Request
     {
-        $this->queryString = (string) $queryString;
+        $this->queryString = $queryString;
         parse_str($this->queryString, $this->query);
 
         return $this->updateRequestUri();
     }
 
+    public function withQueryString(string $queryString): Request
+    {
+        $that = clone $this;
+
+        $that->queryString = $queryString;
+        parse_str($that->queryString, $that->query);
+
+        return $that->updateRequestUri();
+    }
+
     /**
      * Updates the request URI from the values of path and query string.
      *
@@ -877,6 +1001,8 @@ public function getRequestUri() : string
     }
 
     /**
+     * @deprecated use withRequestUri()
+     *
      * Sets the request URI.
      *
      * This will update the request path, query string, and query parameters.
@@ -909,6 +1035,15 @@ public function setRequestUri(string $requestUri) : Request
         return $this;
     }
 
+    public function withRequestUri(string $requestUri): Request
+    {
+        $that = clone $this;
+
+        $that->setRequestUri($requestUri);
+
+        return $that;
+    }
+
     /**
      * Returns the URL of this request.
      *
@@ -933,6 +1068,8 @@ public function getUrlBase() : string
     }
 
     /**
+     * @deprecated use withUrl()
+     *
      * Sets the request URL.
      *
      * @param string $url The new URL.
@@ -997,6 +1134,15 @@ public function setUrl(string $url) : Request
         return $this;
     }
 
+    public function withUrl(string $url): Request
+    {
+        $that = clone $this;
+
+        $that->setUrl($url);
+
+        return $that;
+    }
+
     /**
      * Returns the Referer URL if it is present and valid, else null.
      *
@@ -1028,6 +1174,8 @@ public function isSecure() : bool
     }
 
     /**
+     * @deprecated use withSecure()
+     *
      * Sets whether this request is sent over a secure connection.
      *
      * @param bool $isSecure True to mark the request as secure, false to mark it as not secure.
@@ -1047,6 +1195,14 @@ public function setSecure(bool $isSecure) : Request
         return $this;
     }
 
+    public function withSecure(bool $isSecure): Request
+    {
+        $that = clone $this;
+        $that->setSecure($isSecure);
+
+        return $that;
+    }
+
     /**
      * Returns the client IP address.
      *
@@ -1058,6 +1214,8 @@ public function getClientIp() : string
     }
 
     /**
+     * @deprecated use withClientIp()
+     *
      * Sets the client IP address.
      *
      * @param string $ip The new IP address.
@@ -1071,6 +1229,14 @@ public function setClientIp(string $ip) : Request
         return $this;
     }
 
+    public function withClientIp(string $ip): Request
+    {
+        $that = clone $this;
+        $that->clientIp = $ip;
+
+        return $that;
+    }
+
     /**
      * Returns the content types accepted by the client.
      *
diff --git a/src/Response.php b/src/Response.php
index ecd4c40..8db6fa1 100644
--- a/src/Response.php
+++ b/src/Response.php
@@ -5,6 +5,8 @@
 namespace Brick\Http;
 
 /**
+ * @todo make final
+ *
  * Represents an HTTP response to send back to the client.
  */
 class Response extends Message
@@ -151,6 +153,8 @@ public function getReasonPhrase() : string
     }
 
     /**
+     * @deprecated use withStatusCode()
+     *
      * Sets the status code of this response.
      *
      * @param int         $statusCode   The status code.
@@ -180,6 +184,14 @@ public function setStatusCode(int $statusCode, ?string $reasonPhrase = null) : R
         return $this;
     }
 
+    public function withStatusCode(int $statusCode, ?string $reasonPhrase = null): Response
+    {
+        $that = clone $this;
+        $that->setStatusCode($statusCode);
+
+        return $that;
+    }
+
     /**
      * Returns the cookies currently set on this response.
      *
@@ -191,6 +203,8 @@ public function getCookies() : array
     }
 
     /**
+     * @deprecated use withCookie()
+     *
      * Sets a cookie on this response.
      *
      * @param \Brick\Http\Cookie $cookie The cookie to set.
@@ -205,7 +219,17 @@ public function setCookie(Cookie $cookie) : Response
         return $this;
     }
 
+    public function withCookie(Cookie $cookie): Response
+    {
+        $that = clone $this;
+        $that->setCookie($cookie);
+
+        return $that;
+    }
+
     /**
+     * @deprecated use withoutCookies()
+     *
      * Removes all cookies from this response.
      *
      * @return static This response.
@@ -217,7 +241,17 @@ public function removeCookies() : Response
         return $this->removeHeader('Set-Cookie');
     }
 
+    public function withoutCookies(): Response
+    {
+        $that = clone $this;
+        $that->cookies = [];
+
+        return $that->withoutHeader('Set-Cookie');
+    }
+
     /**
+     * @deprecated use withContent()
+     *
      * @param string|resource $content
      *
      * @return static This response.
@@ -233,6 +267,17 @@ public function setContent($content) : Response
         return $this->setBody($body);
     }
 
+    /**
+     * @param string|resource $content
+     */
+    public function withContent($content): Response
+    {
+        $that = clone $this;
+        $that->setContent($content);
+
+        return $that;
+    }
+
     /**
      * Returns whether this response has an informational status code, 1xx.
      *