Gastrointestinal nematodes (GINs) are a concern for sheep production and are associated with significant economic losses globally, driving the need for effective management strategies. The aims of this research were first to determine the influence of GIN infections on sheep grazing behaviours, specifically grazing time (GT) and grazing event length (GL), and then to estimate the genetic and phenotypic correlation between faecal egg counts (FEC) and salivary specific IgA activity vs GT and GL. Data were collected from 146 Merino sheep on a commercial farm in Victoria, Australia. Faecal, saliva and body weight (BW) were collected at four time points (A: Oct 2019, B: early May 2020, C: late May 2020, and D: Jul 2020), while tri-axial accelerometer sensors recorded GT and GL for the length of 26 days between B and C. Univariate linear regression and Bayesian Generalised Linear Mixed Model, estimated using Markov Chain Monte Carlo, were used to assess the relationships between the behaviours and infection indicators. We found an increase in the logarithm of FEC was associated with a significant rise in grazing time (p < 0.05), suggesting compensatory behaviour in infected sheep. GT also accounted for 6% of the FEC variation. In contrast, the effect of IgA on GT was not significant (p > 0.05). There was a positive genetic and phenotypic correlation estimated between GT and FEC, however, the High Posterior Density interval for the genetic and phenotypic correlations between GT and FEC indicates some uncertainty in these estimates. These results imply that sheep may modify their grazing strategies as an adaptive response to parasitic infections to ease the impact on their nutritional intake. This study improves our understanding of how natural GIN infections affect sheep behaviour and highlights the potential to use animal behaviours as a precision livestock farming tool and in breeding for resilience against parasites.