Leishmaniasis remains a major public health problem worldwide and is classified as Category I by the TDR/WHO, mainly due to the absence of control. Many experimental models like rodents, dogs and monkeys have been developed, each with specific features, in order to characterize the immune response to Leishmania species, but none reproduces the pathology observed in human disease. Conflicting data may arise in part because different parasite strains or species are being examined, different tissue targets (mice footpad, ear, or base of tail) are being infected, and different numbers (“low” 1×102 and “high” 1×106) of metacyclic promastigotes have been inoculated. Recently, new approaches have been proposed to provide more meaningful data regarding the host response and pathogenesis that parallels human disease. The use of sand fly saliva and low numbers of parasites in experimental infections has led to mimic natural transmission and find new molecules and immune mechanisms which should be considered when designing vaccines and control strategies. Moreover, the use of wild rodents as experimental models has been proposed as a good alternative for studying the host-pathogen relationships and for testing candidate vaccines. To date, using natural reservoirs to study Leishmania infection has been challenging because immunologic reagents for use in wild rodents are lacking. This review discusses the principal immunological findings against Leishmania infection in different animal models highlighting the importance of using experimental conditions similar to natural transmission and reservoir species as experimental models to study the immunopathology of the disease.