A number of parasitic diseases have gained importance as neozoan opportunistic infections in the marine environment. Here, we report on the gastrointestinal endoparasite fauna of three baleen whale species and one toothed whale: blue (Balaenoptera musculus), fin (Balaenoptera physalus), and sei whales (Balaenoptera borealis) and sperm whales (Physeter macrocephalus) from the Azores Islands, Portugal. In total, 17 individual whale fecal samples [n = 10 (B. physalus); n = 4 (P. macrocephalus); n = 2 (B. musculus); n = 1 (B. borealis)] were collected from free-swimming animals as part of ongoing studies on behavioral ecology. Furthermore, skin biopsies were collected from sperm whales (n = 5) using minimally invasive biopsy darting and tested for the presence of Toxoplasma gondii, Neospora caninum, and Besnoitia besnoiti DNA via PCR. Overall, more than ten taxa were detected in whale fecal samples. Within protozoan parasites, Entamoeba spp. occurred most frequently (64.7%), followed by Giardia spp. (17.6%) and Balantidium spp. (5.9%). The most prevalent metazoan parasites were Ascaridida indet. spp. (41.2%), followed by trematodes (17.7%), acanthocephalan spp., strongyles (11.8%), Diphyllobotrium spp. (5.9%), and spirurids (5.9%). Helminths were mainly found in sperm whales, while enteric protozoan parasites were exclusively detected in baleen whales, which might be related to dietary differences. No T. gondii, N. caninum, or B. besnoiti DNA was detected in any skin sample. This is the first record on Giardia and Balantidium infections in large baleen whales.