Parasite-mediated selection may initiate or enhance differentiation between host populations that are exposed to different parasite infections. Variation in infection among populations may result from differences in host ecology (thereby exposure to certain parasites) and/or intrinsic immunological traits. Species of cichlid fish, even when recently diverged, often differ in parasite infection, but the contributions of intrinsic and extrinsic causes are unknown. Here, we compare infection patterns between two closely related host species from Lake Victoria (genus Pundamilia), using wild-caught and first-generation laboratory-reared fish, as well as laboratory-reared hybrids. Three of the commonest ectoparasite species observed in the wild were also present in the laboratory populations. However, the infection differences between the host species as observed in the wild were not maintained in laboratory conditions. In addition, hybrids did not differ in infection from either parental species. These findings suggest that the observed species differences in infection in the wild might be mainly driven by ecology-related effects (i.e. differential exposure), rather than by intrinsic species differences in immunological traits. Thus, while there is scope for parasite-mediated selection in Pundamilia in the wild, it has apparently not yet generated divergent evolutionary responses and may not enhance assortative mating among closely related species.