Gastrointestinal parasitic nematode (GIN) infections are the cause of severe losses to farmers in countries where small ruminants such as sheep and goat are the mainstay of livestock holdings. There is a need to develop effective and easy-to-administer anti-parasite vaccines in areas where anthelmintic resistance is rapidly rising due to the inefficient use of drugs currently available. In this review, we describe the most prevalent and economically significant group of GIN infections that infect small ruminants and the immune responses that occur in the host during infection with an emphasis on mucosal immunity. Furthermore, we outline the different prevention strategies that exist with a focus on whole and purified native parasite antigens as vaccine candidates and their possible oral–nasal administration as a part of an integrated parasite control toolbox in areas where drug resistance is on the rise.