Monitoring the prevalence and abundance of parasites over time is important for addressing their potential impact on host life histories, immunological profiles and their influence as a selective force. Only long-term ecological studies have the potential to shed light on both the temporal trends in infection prevalence and abundance and the drivers of such trends, because of their ability to dissect drivers that may be confounded over shorter time scales. Despite this, only a relatively small number of such studies exist. Here, we analysed changes in the prevalence and abundance of gastrointestinal parasites in the wild Soay sheep population of St. Kilda across 31 years. The host population density (PD) has increased across the study, and PD is known to increase parasite transmission, but we found that PD and year explained temporal variation in parasite prevalence and abundance independently. Prevalence of both strongyle nematodes and coccidian microparasites increased during the study, and this effect varied between lambs, yearlings and adults. Meanwhile, abundance of strongyles was more strongly linked to host PD than to temporal (yearly) dynamics, while abundance of coccidia showed a strong temporal trend without any influence of PD. Strikingly, coccidian abundance increased 3-fold across the course of the study in lambs, while increases in yearlings and adults were negligible. Our decades-long, intensive, individual-based study will enable the role of environmental change and selection pressures in driving these dynamics to be determined, potentially providing unparalleled insight into the drivers of temporal variation in parasite dynamics in the wild.