Host-parasite interactions exert strong selection pressures on the genomes of both host and parasite. These interactions can lead to increased fitness of rare alleles, resulting in negative frequency-dependent selection, a form of balancing selection that is hypothesised to explain the high levels of polymorphism seen in many host immune and parasite antigen loci. Despite their economic and ecological importance, there is limited evidence for balancing selection in parasitism-relevant genes in parasitic nematodes. Here, we sequenced the genomes of several individuals ofHeligmosomoides bakeri, a parasite of house mice that is a well-established model parasitic nematode, andHeligmosomoides polygyrus, a closely related parasite of wood mice. We combined our single nematode genome assemblies with chromatin conformation capture (Hi-C) libraries derived from pools of individuals to generate chromosome-level reference genomes for both species. AlthoughH. bakeriis commonly referred to asH. polygyrusin the literature, their genomes show levels of divergence that are consistent with millions of years of independent evolution. We also found that theH. bakerigenome, which we expected to be highly homozygous through inbreeding, contained hundreds of hyper-divergent haplotypes, similar to those recently reported in free-living nematodes. Within these haplotypes, we found an enrichment of protein families that interact with the host immune response, including protease inhibitors and transthyretin-related proteins. We also found that many of these haplotypes originated prior to the divergence betweenH. bakeriandH. polygyrus, suggesting that they have been maintained since the last common ancestor of the two species by long-term balancing selection. Together, our results suggest that selection pressures exerted on parasites by their hosts have led to unexpected modes and levels of genetic diversity in the genomes of these economically and ecologically important species.