A growing body of literature reveals that the interactions among the parasite community may be strong and significant for parasite dynamics. There may be inter-specific antagonistic interactions as a result of competition and cross-effective immune response, or synergistic interactions where infection by one parasite is facilitated by another one, either by an impoverishment of the host's defenses, parasite-induced selective immunosuppression, or trade-offs within the immune system. The nature of these interactions may depend on how related are the parasite species involved. Here we explored the presence of associations among gastrointestinal parasites (coccidia and helminths) in natural populations of two wild mammal species, the capybara (Hydrochoerus hydrochaeris) and the guanaco (Lama guanicoe). The associations explored were between the oocyst outputs of a selected Eimeria species and the other coccidia of that parasite community, and between Eimeria spp. and the predominant nematodes. The statistical analysis included adjustment for potential confounders or effect modifiers. In guanacos, the prevailing interactions were synergistic among the coccidia and between coccidia and nematodes (Nematodirus spp.). However, in capybaras, the interaction between nematodes (Viannaiidae) and Eimeria spp. depended on environmental and host factors. The relationship was positive in some circumstances (depending on season, year, sex, or animal size), but it appeared to become antagonistic under different scenarios. These antagonist interactions did not follow a particular seasonal pattern (they occurred in autumn, spring, and summer), but they were predominantly found in females (when they depended on sex) or in 2010 and 2011 (when they depended on the sampling year). These results suggest that the relationship between coccidia and nematodes in capybaras may be context dependent. We propose that the context-dependent immune investment documented in capybaras may be the cause of these varying interactions.