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The immune state of wild animals is largely unknown. Knowing this and what affects it is important in understanding how infection and disease affects wild animals. The immune state of wild animals is also important in understanding the biology of their pathogens, which is directly relevant to explaining pathogen spillover among species, including to humans. The paucity of knowledge about wild animals' immune state is in stark contrast to our exquisitely detailed understanding of the immunobiology of laboratory animals. Making an immune response is costly, and many factors (such as age, sex, infection status, and body condition) have individually been shown to constrain or promote immune responses. But, whether or not these factors affect immune responses and immune state in wild animals, their relative importance, and how they interact (or do not) are unknown. Here, we have investigated the immune ecology of wild house mice—the same species as the laboratory mouse—as an example of a wild mammal, characterising their adaptive humoral, adaptive cellular, and innate immune state. Firstly, we show how immune variation is structured among mouse populations, finding that there can be extensive immune discordance among neighbouring populations. Secondly, we identify the principal factors that underlie the immunological differences among mice, showing that body condition promotes and age constrains individuals’ immune state, while factors such as microparasite infection and season are comparatively unimportant. By applying a multifactorial analysis to an immune system-wide analysis, our results bring a new and unified understanding of the immunobiology of a wild mammal.