Hosts and parasites co-evolve, with each lineage exerting selective pressures on the other. Thus, parasites may influence host life-history characteristics, such as longevity, and simultaneously host life-history may influence parasite diversity. If parasite burden causes increased mortality, we expect a negative association between host longevity and parasite species richness. Alternatively, if long-lived species represent a more stable environment for parasite establishment, host longevity and parasite species richness may show a positive association. We tested these two opposing predictions in carnivores, primates and terrestrial ungulates using phylogenetic comparative methods and controlling for the potentially confounding effects of sampling effort and body mass. We also tested whether increased host longevity is associated with increased immunity, using white blood cell counts as a proxy for immune investment. Our analyses revealed weak relationships between parasite species richness and longevity. We found a significant negative relationship between longevity and parasite species richness for ungulates, but no significant associations in carnivores or primates. We also found no evidence for a relationship between immune investment and host longevity in any of our three groups. Our results suggest that greater parasite burden is linked to higher host mortality in ungulates. Thus, shorter-lived ungulates may be more vulnerable to disease outbreaks, which has implications for ungulate conservation, and may be applicable to other short-lived mammals.