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.