Sex hormones, reproductive status, and pathogen load all affect stress. Together with stress, these factors can modulate the immune system and affect disease incidence. Thus, it is important to concurrently measure these factors, along with their seasonal fluctuations, to better understand their complex interactions. Using steroid hormone metabolites from fecal samples, we examined seasonal correlations among zebra and springbok stress, reproduction, gastrointestinal (GI) parasite infections, and anthrax infection signatures in zebra and springbok in Etosha National Park (ENP), Namibia, and found strong seasonal effects. Infection intensities of all three GI macroparasites examined (strongyle helminths, Strongyloides helminths, and Eimeria coccidia) were highest in the wet season, concurrent with the timing of anthrax outbreaks. Parasites also declined with increased acquired immune responses. We found hormonal evidence that both mares and ewes are overwhelmingly seasonal breeders in ENP, and that reproductive hormones are correlated with immunosuppression and higher susceptibility to GI parasite infections. Stress hormones largely peak in the dry season, particularly in zebra, when parasite infection intensities are lowest, and are most strongly correlated with host mid-gestation rather than with parasite infection intensity. Given the evidence that GI parasites can cause host pathology, immunomodulation, and immunosuppression, their persistence in ENP hosts without inducing chronic stress responses supports the hypothesis that hosts are tolerant of their parasites. Such tolerance would help to explain the ubiquity of these organisms in ENP herbivores, even in the face of their potential immunomodulatory trade-offs with anti-anthrax immunity.