Life-history theory stipulates that resources are limited and consequently investment in one trait (e.g. reproduction) compromises resources allocated to another (e.g. immune defence). Differential investment of resources can occur at the level of the individual (i.e. between reproductive status and body condition) as well as at higher levels such as between individuals of different ages or sexes. Male mammals generally invest resources to secure the greatest number of matings while females maximize their own fitness by allocating more resources to body maintenance, including immune function. Accordingly, sex biases in parasite loads appear common among mammal species and have been linked to sex differences in morphology (e.g. body size), behaviour (e.g. mate searches) and physiology (e.g. testosterone). We examined sex biases in parasite load and potential trade-offs between body condition, reproductive investment and immune function in grey squirrels Sciuris carolinensis, a species with a highly promiscuous mating system but no sexual size dimorphism. We found male-biased parasite loads for two of four parasites. The intensity of infection with fleas but not nematodes was affected by testis size. This suggests that behavioural traits may contribute to nematode load. Neither reproductive effort nor nematode infection influenced body condition for either sex but lactating females were in better condition than non-lactating females. Immune function, as measured by spleen mass, was positively correlated with body size and negatively with body condition. Nematode infection was associated with a reduction in spleen mass only in males. Thus, the effects of behavioural and physiological differences as well as sex on parasite load depend on the parasite species involved. This provides support for the hypothesis that males favour investment in mating effort at the expense of immune function.