The fundamental role of the major histocompatibility complex (MHC) in immune recognition has led to a general consensus that the characteristically high levels of functional polymorphism at MHC genes is maintained by balancing selection operating through host-parasite coevolution. However, the actual mechanism by which selection operates is unclear. Two hypotheses have been proposed: overdominance (or heterozygote superiority) and negative frequency-dependent selection. Evidence for these hypotheses was evaluated by examining MHC-parasite relationships in an island population of water voles (Arvicola terrestris). Generalized linear mixed models were used to examine whether individual variation at an MHC class II DRB locus explained variation in the individual burdens of five different parasites. MHC genotype explained a significant amount of variation in the burden of gamasid mites, fleas (Megabothris walkeri) and nymphs of sheep ticks (Ixodes ricinus). Additionally, MHC heterozygotes were simultaneously co-infected by fewer parasite types than homozygotes. In each case where an MHC-dependent effect on parasite burden was resolved, the heterozygote genotype was associated with fewer parasites, and the heterozygote outperformed each homozygote in two of three cases, suggesting an overall superiority against parasitism for MHC heterozygote genotypes. This is the first demonstration of MHC heterozygote superiority against multiple parasites in a natural population, a mechanism that could help maintain high levels of functional MHC genetic diversity in natural populations.