The increasing resistance to anthelmintics has necessitated the exploration of alternative control strategies of gastrointestinal nematode (GIN) infections. A sustainable option is genetic selection based on differences in susceptibility to GIN infection between and within breeds of sheep. Here, three-month-old Canaria Hair breed (GIN-resistant) and Canaria Sheep breed (GIN-susceptible) showed no significant between-breed differences after trickle infection with Teladorsagia circumcincta, whereas considerable individual variability was found in both breeds. Next, data from lambs of both breeds were used to explore the relationships between parasitological variables and T. circumcincta-specific IgA levels, local immune cell populations, and abomasal lymph node gene expression to understand the possible mechanisms underlying resistance. Mucosal IgA levels as well as numbers of globular leukocytes and MHC-II+ cells were associated with protection. Analysis of lymph node gene expression revealed the associations between lower parasite numbers and cumulative fecal egg counts and several immune pathways, such as leukocyte cell adhesion, activation and differentiation of T cells, in particular CD4+ and IL-4 production. The data obtained here may inform on the relationship between phenotypic resistance variability and protective responses at the humoral, cellular, and transcriptomic levels, thus contributing to identifying immune responses in young lambs that could be used as markers for selection.