Nematode parasitism is a severe impediment to sustainable and profitable sheep production in many countries in the world. Parasite resistance to anthelmintic treatment and consumer demand for organic agricultural products has led to much research into harnessing natural immunity as a long-term control measure. However, there is evidence that many of the clinical signs of nematode infection in sheep are due to immune-mediated pathology rather than direct effects of the parasite. Therefore, the desirability of promoting a strong natural immunity in sheep has been questioned. This review attempts to clarify some of the arguments for and against promoting strong natural immunity, particularly through selective breeding of parasite-resistant animals. It is concluded that the detrimental effects of immune-mediated pathology are outweighed by epidemiological and welfare benefits. Thus, control of nematode parasites through selection of naturally resistant sheep is a sustainable and desirable objective.