Identifying the genes underlying phenotypic variation in natural populations can provide novel insight into the evolutionary process. Here we test the candidate gene approach to identifying loci involved in variation in gastrointestinal parasite burden, in a wild population of Soay sheep. A comprehensive literature review, Gene Ontology databases, and comparative genomics resources were used to generate a list of candidate genes. In a pilot study these candidates, along with 50 random genes, were then sequenced in pools of Soay sheep with low and high gastrointestinal nematode burden. Further candidates were identified from SNPs that were highly differentiated between high and low resistance sheep breeds. A panel of 192 candidate and control SNPs were then typed in 960 individual Soay sheep to examine whether they individually explained variation in parasite burden, as measured as faecal egg count (FEC), as well as two immune measures. The cumulative effect of the candidate and control SNPs were estimated by fitting genetic relationship matrices (GRMs) as random effects in animal models of the three traits. No more significant SNPs were identified in the pilot sequencing experiment and association study than expected by chance. Furthermore, no significant difference was found between the proportions of candidate or control SNPs that were found to be significantly associated with parasite burden/immune measures. No significant effect of the candidate or control gene GRMs was found. There is thus little support for the candidate gene approach to the identification of loci explaining variation in parasitological and immunological traits in this population.