The immune system represents a complicated assemblage of coordinated genes, proteins, cells and tissues. The field of ecological immunology (EI) is founded on the assumption that immunological defenses incur costs (energetic or fitness) under different ecological conditions. These costs are expected to shape investment in immunity and to alter the dynamics of infection. Considering that the primary function of the immune system is to defend the host against infection, it is warranted to ask—to what extent is immune function meaningful outside of parasitism? Parasites provide a physiological context for immune function. The full complexity of the immune response may only be elucidated by the interplay between diverse tissues, cells and molecules of the host and the parasite. Parasites also provide a conceptual keystone for ecological and evolutionary exploration of immune function. We illustrate these points by describing the connections between immune responses at two scales (cell and tissue) against two taxonomic groups of parasites (unicellular and multicellular). We discuss four challenges for future research in EI: (I) Researchers need to empirically demonstrate host-parasite interactions that affect fitness of the organisms under study; (II) Researchers should interpret immunological traits relative to both defense and tolerance; (III) Tests of immunological traits should include co-infections; (IV) The perspective of the parasite should be more thoroughly considered. We believe addressing these challenges will strengthen the integration of immunology and ecology as the field continues to grow.