The unprecedented polymorphism in the major histocompatibility complex (MHC) genes is thought to be maintained by balancing selection from parasites. However, do parasites also drive divergence at MHC loci between host populations, or do the effects of balancing selection maintain similarities among populations? We examined MHC variation in populations of the livebearing fish Poecilia mexicana and characterized their parasite communities. Poecilia mexicana populations in the Cueva del Azufre system are locally adapted to darkness and the presence of toxic hydrogen sulfide, and represent highly divergent ecotypes or incipient species. Parasite communities differed significantly across populations, and populations with higher parasite loads had higher levels of diversity at class II MHC genes. However, despite different parasite communities, marked divergence in adaptive traits and in neutral genetic markers, we found MHC alleles to be remarkably similar among host populations. Our findings indicate that balancing selection from parasites maintains immunogenetic diversity of hosts, but this process does not promote MHC divergence in this system. On the contrary, we suggest that balancing selection on immunogenetic loci may outweigh divergent selection causing divergence, thereby hindering host divergence and speciation. Our findings support the hypothesis that balancing selection maintains MHC similarities among lineages during and after speciation (trans-species evolution).