In wild populations, individuals are regularly exposed to a wide range of pathogens. In this context, organisms must elicit and regulate effective immune responses to protect their health while avoiding immunopathology. However, most of our knowledge about the function and dynamics of immune responses comes from laboratory studies performed on inbred mice in highly controlled environments with limited exposure to infection. Natural populations, on the other hand, exhibit wide genetic and environmental diversity. We argue that now is the time for immunology to be taken into the wild. The goal of ‘wild immunology’ is to link immune phenotype with host fitness in natural environments. To achieve this requires relevant measures of immune responsiveness that are both applicable to the host–parasite interaction under study and robustly associated with measures of host and parasite fitness. Bringing immunology to nonmodel organisms and linking that knowledge host fitness, and ultimately population dynamics, will face difficult challenges, both technical (lack of reagents and annotated genomes) and statistical (variation among individuals and populations). However, the affordability of new genomic technologies will help immunologists, ecologists and evolutionary biologists work together to translate and test our current knowledge of immune mechanisms in natural systems. From this approach, ecologists will gain new insight into mechanisms relevant to host health and fitness, while immunologists will be given a measure of the real-world health impacts of the immune factors they study. Thus, wild immunology can be the missing link between laboratory-based immunology and human, wildlife and domesticated animal health.