Why do hosts vary so much in parasite burden, how does this variation translate to variation in host demographic rates and parasite transmission, and how does varied transmission intensity impact selection upon immune defence of individuals? The theoretical foundations of disease ecology provide predictions for the answers to these questions, yet testing such predictions with empirical data poses many challenges. We show how the long-term ecological and genetic study of the unmanaged Soay sheep of St Kilda has addressed fundamental questions in disease ecology, with longitudinal data on parasite burden, immune defence, condition, survival, and fecundity of >10,000 individuals. The rich individual-scale data are complemented by >30 years of data on sheep population dynamics and genetic diversity as well as parasite dynamics and diversity. Population-scale work has documented the range of parasite species present and the contribution of the most prevalent and virulent parasites to regulating sheep dynamics. Individual-scale work has identified drivers of variation in parasite burden and tested hypotheses about costs and benefits of defence in a quest to determine how natural selection has shaped immune function of the sheep.