Anthropogenic disturbances involving land use change, climate disruption, pollution, and invasive species have been shown to impact immune function of wild animals. These immune changes have direct impacts on the fitness of impacted animals and, also, potentially indirect effects on other species and on ecological processes, notably involving the spread of infectious disease. Here, we investigate whether the selective loss of large wildlife can also drive changes in immune function of other consumer species. Using a long-standing large-scale exclosure experiment in East Africa, we investigated the effects of selective removal of large wildlife on multiple measures of immune function in the dominant small rodent in the system, the East African pouched mouse, Saccostomus mearnsi. We find support for a general increase in immune function in landscapes where large wildlife has been removed, but with some variation across immune parameters. These changes may be mediated in part by increased pathogen pressure in plots where large wildlife has been removed due to major increases in rodent density in such plots, but other factors such as changes in food resources are also likely involved. Overall, our research reveals that the elimination of large-bodied wildlife –now recognized as another major form of global anthropogenic change– may have cascading effects on immune health, with the potential for these effects to also impact disease dynamics in ecological communities.