The prevalence and intensity of infections caused by protozoa, nematodes, trematodes, cestodes, and arthropods is higher in males than females. The primary thesis of this review is that immunological differences exist between the sexes that may underlie increased parasitism in males compared to females. Several field and laboratory studies link sex differences in immune function with circulating steroid hormones; thus, the roles of sex steroids, including testosterone, oestradiol, and progesterone, as well as glucocorticoids will be discussed. Not only can host hormones affect responses to infection, but parasites can both produce and alter hormone concentrations in their hosts. The extent to which changes in endocrine–immune interactions following infection are mediated by the host or the parasite will be considered. Although males are more susceptible than females to many parasites, there are parasites for which males are more resistant than females and endocrine–immune interactions may underlie this sex reversal. Finally, although immunological differences exist between the sexes, genetic and behavioural differences may explain some variability in response to infection and will be explored as alternative hypotheses for how differences between the sexes contribute to dimorphic responses to parasites.