We investigated the factors mediating selection acting on two MHC class II genes (DQA and DRB) in water vole (Arvicola scherman) natural populations in the French Jura Mountains. Population genetics showed significant homogeneity in allelic frequencies at the DQA1 locus as opposed to neutral markers (nine microsatellites), indicating balancing selection acting on this gene. Moreover, almost exhaustive screening for parasites, including gastrointestinal helminths, brain coccidia and antibodies against viruses responsible for zoonoses, was carried out. We applied a co‐inertia approach to the genetic and parasitological data sets to avoid statistical problems related to multiple testing. Two alleles, Arte‐DRB‐11 and Arte‐DRB‐15, displayed antagonistic associations with the nematode Trichuris arvicolae, revealing the potential parasite‐mediated selection acting on DRB locus. Selection mechanisms acting on the two MHC class II genes thus appeared different. Moreover, overdominance as balancing selection mechanism was showed highly unlikely in this system.