In the face of rapid environmental change, anticipating shifts in microparasite and macroparasite dynamics, including emergence events, is an enormous challenge. We argue that immunological studies in natural populations are pivotal to meeting this challenge: many components of environmental change--shifts in biotic assemblages, altered climate patterns and reduced environmental predictability--may affect host immunity. We suggest that wild ungulates can serve as model systems aiding the discovery of immunological mechanisms that link environmental change with parasite transmission dynamics. Our review of eco-immunological studies in wild ungulates reveals progress in understanding how co-infections affect immunity and parasite transmission and how environmental and genetic factors interact to shape immunity. Changes in bioavailability of micronutrients have been linked to immunity and health in wild ungulates. Although physiological stress in response to environmental change has been assessed, downstream effects on immunity have not been studied. Moreover, the taxonomic range of ungulates studied is limited to bovids (bighorn sheep, Soay sheep, chamois, musk oxen, bison, African buffalo) and a few cervids (red deer, black-tailed deer). We discuss areas where future studies in ungulates could lead to significant contributions in understanding the patterns of immunity and infection in natural populations and across species.