Because of potentially strong eco-evolutionary interactions with their hosts, parasites may initiate or enhance host diversification. The adaptive radiation of cichlid fish in Lake Victoria provides a good system to study the role of parasites at different stages of host speciation. We analyzed the macroparasite infection of four replicates of sympatric blue and red Pundamilia species pairs that vary in their age and extent of differentiation. Sympatric host species differed in parasite community composition and in the infection levels of some of these parasite taxa. Most infection differences were consistent between sampling years, indicating temporal consistency in parasite-mediated divergent selection between species. Infection differentiation increased linearly with genetic differentiation. However, significant infection differences between sympatric species were only found in the oldest, most strongly differentiated Pundamilia species pair. This is inconsistent with parasite-driven speciation. Next, we identified five distinct species of Cichlidogyrus, a genus of highly specific gill parasites that has radiated elsewhere in Africa. Infection profiles of species of Cichlidogyrus differed between sympatric cichlid species only in the oldest and most differentiated pair, again inconsistent with parasite-mediated speciation. To conclude, parasites may contribute to host differentiation after speciation, but do not initiate host speciation.