Parasites play a key role in regulating wildlife population dynamics, but their impact on the host appears to be context-dependent. Evidence indicates that a synergistic interaction between stress, host condition and parasites is implicated in this phenomenon, but more studies are needed to better understand this context-dependency. With the goal to assess the net effect of two types of chronic stress on various host-parasite interactions, we conducted an experiment in capybaras to evaluate the impact of food restriction and physical restraint on the infection intensity of specific gastrointestinal nematodes and coccidia, and how these stressors affected the growth, body condition, and some immuno-physiological parameters. Our hypothesis was that both forms of stress would result in an alteration in the host-parasite interactions, with deteriorated condition and reduced immunological investment leading to high parasite burdens and vice versa. Stressed capybaras had significantly higher coccidia infection intensities; but among individuals that were smaller, those stressed consistently showed lower helminth burdens than controls. Both stress treatments had a marked negative impact on growth and body condition, but concomitantly they had a significant positive effect on some components of the immune system. Our results suggest, on the one hand, that during prolonged periods of stress capybaras preventatively invest in some components of their immunity, such as innate humoural defenses and cells that combat helminths, which could be considered a stress-dependent prophylaxis. On the other hand, stress was found to cause greater infection intensities of protozoans but lower burdens of nematodes, indicating that the relationship between stress, physiological trade-offs and infection depends on the type of parasite in question. Moreover, both findings might be related in a causal way, as one of the immunological parameters enhanced in stressed capybaras is associated with the immune response to control helminths.