Fitness costs of infection are fundamental to understanding the ecology and evolution of host-parasite interactions. However, these costs, and particularly their underlying mechanisms, are challenging to evaluate in wild populations. Here, we quantified total and species-specific costs of gastrointestinal worms on African buffalo, by combining the power of an anthelmintic treatment experiment that perturbed the entire worm community with a longitudinal study that tracked the two most dominant community members. Reducing all worms improved buffalo body condition, which was strongly associated with increases in survival and reproduction. Species-specific analyses revealed that condition-mediated fitness costs of infection differed between parasite species. Hosts that gained the blood-sucking worm Haemonchus, lost condition, and this loss may have been mediated by reductions in forage intake. Hosts that resisted Haemonchus by elevating IL-4 and eosinophil immune defences were able to reduce their parasite loads and gain back condition. Conversely, hosts that gained Cooperia, a less pathogenic worm, gained condition and had higher survival and reproductive success. Elevating immune defences had no effect on Cooperia abundance. Coupled with the positive relationship observed between Cooperia and host condition, our data suggest that hosts might benefit from tolerating Cooperia rather than incurring the costs of resistance. Overall, our study reveals that differential host responses to parasites play a key role in mediating the costs of infection.