Much of our knowledge of the drivers of immune variation, and how these responses vary over time, comes from humans, domesticated livestock or laboratory organisms. While the genetic basis of variation in immune responses have been investigated in these systems, there is a poor understanding of how genetic variation influences immunity in natural, untreated populations living in complex environments. Here, we examine the genetic architecture of variation in immune traits in the Soay sheep of St Kilda, an unmanaged population of sheep infected with strongyle gastrointestinal nematodes. We assayed IgA, IgE and IgG antibodies against the prevalent nematode Teladorsagia circumcincta in the blood plasma of > 3,000 sheep collected over 26 years. Antibody levels were significantly heritable (h2 = 0.21 to 0.57) and highly stable over an individual’s lifespan. IgA levels were strongly associated with a region on chromosome 24 explaining 21.1% and 24.5% of heritable variation in lambs and adults, respectively. This region was adjacent to two candidate loci, Class II Major Histocompatibility Complex Transactivator (CIITA) and C-Type Lectin Domain Containing 16A (CLEC16A). Lamb IgA levels were also associated with the immunoglobulin heavy constant loci (IGH) complex, and adult IgE levels and lamb IgA and IgG levels were associated with the major histocompatibility complex (MHC). This study provides evidence of high heritability of a complex immunological trait under natural conditions and provides the first evidence from a genome-wide study that large effect genes located outside the MHC region exist for immune traits in the wild.