We explore evolutionarily stable co-evolution of host-macroparasite++ interactions in a discrete-time two-species population dynamics model, in which the dynamics may be stable, cyclic or chaotic. The macroparasites are assumed to harm host individuals through decreased reproductive output. Hosts may develop costly immune responses to defend themselves against parasites. Parasites compete with conspecifics by adjusting their fecundities. Overall, the presence of both parasites and the immune response in hosts produces more stable dynamics and lower host population sizes than that observed in the absence of the parasites. In our evolutionary analyses, we show that maximum parasite fecundity is always an evolutionarily stable strategy (ESS), irrespective of the type of population interaction, and that maximum parasite fecundity generally induces a minimum parasite population size through over-exploitation of the host. Phenotypic polymorphisms with respect to immunity in the host species are common and expected in ESS host strategies: the benefits of immunication depend on the frequency of the immune hosts in the population. In particular, the steady-state proportions of immune hosts depend, in addition to all the parameters of the parasite dynamics only on the cost of immunity and on the virulence of parasites in susceptible hosts. The implicit ecological dynamics of the host-parasite interaction affect the proportion of immune host individuals in the population. Furthermore, when changes in certain population parameters cause the dynamics of the host-parasite interaction to move from stability to cyclicity and then to chaos, the proportion of immune hosts tend to decrease; however, we also detected counter-examples to this result. As a whole, incorporating immunological and genetic aspects, as well as life-history trade-offs, into host-macroparasite dynamics produces a rich extension to the patterns observed in the models of ecological interactions and epidemics, and deserves more attention than is currently the case.