Genes of the major histocompatibility complex (MHC) play a fundamental role in the vertebrate immune response and are amongst the most polymorphic genes in vertebrate genomes. It is generally agreed that the highly polymorphic nature of the MHC is maintained through host–parasite co-evolution. Two nonexclusive mechanisms of selection are supposed to act on MHC genes: superiority of MHC heterozygous individuals (overdominance) and an advantage for rare MHC alleles. However, the precise mechanisms and their relative importance are still unknown. Here, we examined MHC dependent parasite load in European rabbits (Oryctolagus cuniculus) from a distinct population with low MHC diversity (three alleles, six genotypes). Using a multivariate approach, we tested for associations of individual MHC class II DRB constitution and the rabbits’ intestinal burden with nematodes and coccidia. Rabbits having a particular allele showed lower infestations with hepatic coccidia (E. stiedai). However, a comparison of all six genotypes in the population revealed that carriers of this allele only benefit when they are heterozygous, and furthermore, MHC heterozygosity in general did not affect individual parasite load. In conclusion, this study suggests an immunogenetic basis of European rabbit resistance to hepatic coccidiosis, which can strongly limit survival to maturity in this species. Our study gives a complex picture of MHC–parasite correlations, unveiling the limits of the classical hypotheses of how MHC polymorphism is maintained in natural systems.