Wild animals are under constant threat from a wide range of micro- and macroparasites in their environment. Animals make immune responses against parasites, and these are important in affecting the dynamics of parasite populations. Individual animals vary in their anti-parasite immune responses. Genetic polymorphism of immune-related loci contributes to inter-individual differences in immune responses, but most of what we know in this regard comes from studies of humans or laboratory animals; there are very few such studies of wild animals naturally infected with parasites. Here we have investigated the effect of Single Nucleotide Polymorphisms (SNPs) in immune-related loci (the MHC, and loci coding for cytokines and Toll-like receptors) on a wide range of immune and infection phenotypes in UK wild house mice, Mus musculus domesticus. We found strong associations between SNPs in various MHC and cytokine-coding loci on both immune measures (antibody concentration and cytokine production) and on infection phenotypes (infection with mites, worms and viruses). Our study provides a comprehensive view of how polymorphism of immune-related loci affects immune and infection phenotypes in naturally infected wild rodent populations.