Simple SummaryWild animals can host diseases that affect humans (i.e., zoonotic diseases). However, not all wild animals are equal in their hosting capacities. In fact, the immune system, the main defense against diseases, varies within and among species. Within species, variation relates to two factors: parasite load and parasite pressure. Parasite load refers to the amount of parasites in or on an individual. Parasite pressure refers to the amount of parasites in a location. The importance of these factors in shaping the immune system of wild rodents, a group of animals known to host zoonotic diseases, is poorly understood. Overall, the rodent species we studied (bank voles and wood mice) hosted 5 microparasites, 9 ectoparasites, and 8 gastrointestinal parasites. We found that parasite load and parasite pressure related to different facets of the immune system. We also found that bank voles exhibited higher levels of one immune defense than wood mice, but higher levels of this defense correlated with a worm infection only in wood mice. Lastly, a white blood cell ratio correlated with infection by a zoonotic parasite. Studies like ours help to document the complexities of host–parasite interactions and how these interactions shape zoonotic disease risk in a changing world.Wildlife is exposed to parasites from the environment. This parasite pressure, which differs among areas, likely shapes the immunological strategies of animals. Individuals differ in the number of parasites they encounter and host, and this parasite load also influences the immune system. The relative impact of parasite pressure vs. parasite load on different host species, particularly those implicated as important reservoirs of zoonotic pathogens, is poorly understood. We captured bank voles (Myodes glareolus) and wood mice (Apodemus sylvaticus) at four sites in the Netherlands. We sampled sub-adult males to quantify their immune function, infestation load for ecto- and gastrointestinal parasites, and infection status for vector-borne microparasites. We then used regression trees to test if variation in immune indices could be explained by among-site differences (parasite pressure), among-individual differences in infestation intensity and infection status (parasite load), or other intrinsic factors. Regression trees revealed splits among sites for haptoglobin, hemagglutination, and body-mass corrected spleen size. We also found splits based on infection/infestation for haptoglobin, hemolysis, and neutrophil to lymphocyte ratio. Furthermore, we found a split between species for hemolysis and splits based on body mass for haptoglobin, hemagglutination, hematocrit, and body-mass corrected spleen size. Our results suggest that both parasite pressure and parasite load influence the immune system of wild rodents. Additional studies linking disease ecology and ecological immunology are needed to understand better the complexities of host–parasite interactions and how these interactions shape zoonotic disease risk.