Animal migration (round‐trip, predictable movements) takes individuals across space and time, bringing them into contact with new communities of organisms. In particular, migratory movements shape (and are shaped by) the costs and risk of parasite transmission. Unfortunately, our understanding of how migration and parasite infection interact has not proceeded evenly. Although numerous conceptual frameworks (e.g. mathematical models) have been developed, most empirical evidence of migration–parasite interactions are drawn from pre‐existing empirical studies that were conducted using other conceptual frameworks, which limits our understanding. Here, we synthesise and analyse existing work, and then provide a roadmap for future (especially empirical) studies. First, we synthesise the conceptual frameworks that have been developed to understand interactions between migration and parasites (e.g. migratory exposure, escape, allopatry, recovery, culling, separation, stalling and relapse). Second, we highlight current challenges to studying migration and parasites empirically, and to integrating empirical and theoretical perspectives, particularly emphasizing the challenge of feedback loops. Finally, we provide a guide to overcoming these challenges in empirical studies, using comparative, observational and experimental approaches. Beyond guiding future empirical work, this review aims to inspire stronger collaboration between empiricists and theorists studying the intersection of migration and parasite infection. Such collaboration will help overcome current limits to our understanding of how migration and parasites interact, and allow us to predict how these critical ecological processes will change in the future.