Vaccines can have non-targeted heterologous effects which manifest as increased protection against non-vaccine infections, as described for measles vaccine (MV); or increased susceptibility to infections and death, as described following diphtheria-tetanus-whole cell pertussis (DTP) vaccination. The mechanisms are unknown and high quality immunological studies are lacking. This study was designed to investigate the heterologous effects of MV and DTP in 302 Gambian infants. The results support an immunosuppressive effect of DTP on innate pro-inflammatory responses and T cell immunity in females. Males but not females receiving MV had enhanced pro-inflammatory innate responses. The results point to modified signalling via Toll-like receptor (TLR4) as a possible mechanism for the effects on innate immunity. When both vaccines were administered together, PPD responses were enhanced in females but down-regulated in males. Collectively these data indicate immunological effects that could account for heterologous effects of MV and DTP, to take forward into prospective trials.