Most hosts, including humans, are simultaneously or sequentially infected with several parasites. A key question is whether patterns of coinfection arise because infection by one parasite species affects susceptibility to others or because of inherent differences between hosts. We used time-series data from individual hosts in natural populations to analyze patterns of infection risk for a microparasite community, detecting large positive and negative effects of other infections. Patterns remain once variations in host susceptibility and exposure are accounted for. Indeed, effects are typically of greater magnitude, and explain more variation in infection risk, than the effects associated with host and environmental factors more commonly considered in disease studies. We highlight the danger of mistaken inference when considering parasite species in isolation rather than parasite communities.