Parasites can exert strong selective pressures on their hosts and influence the evolution of host immunity. While several studies have examined the genetic basis for parasite resistance, the role of epigenetics in the immune response to parasites is less understood. Yet, epigenetic modifications, such as changes in DNA methylation, may allow species to respond rapidly to parasite prevalence or virulence. To test the role of DNA methylation in relation to parasite infection, we examined genome‐wide DNA methylation before and during infection by a parasitic nematode, Syngamus trachea , in a natural population of house sparrows ( Passer domesticus ) using reduced representation bisulfite sequencing (RRBS). We found that DNA methylation levels were slightly lower in infected house sparrows, and we identified candidate genes relating to the initial immune response, activation of innate and adaptive immunity, and mucus membrane functional integrity that were differentially methylated between infected and control birds. Subsequently, we used methylation‐sensitive high‐resolution melting (MS‐HRM) analyses to verify the relationship between methylation proportion and S. trachea infection status at two candidate genes in a larger sample dataset. We found that methylation level at NR1D1 , but not CLDN22 , remained related to infection status and that juvenile recruitment probability was positively related to methylation level at NR1D1 . This underscores the importance of performing follow‐up studies on candidate genes. Our findings demonstrate that plasticity in the immune response to parasites can be epigenetically mediated and highlight the potential for epigenetic studies in natural populations to provide further mechanistic insight into host–parasite interactions.