This is data collected as part of a four-year study of of wild Soay sheep. It includes data collected from individually monitored sheep including measures of gut bacteria community structure, parasites, immunology, morphology, health and fitness. We also collected data on local weather conditions and vegetation in the area the sheep live. The study took place in the Village Bay area of the island of Hirta in the St Kilda archipelago, off North-West Scotland. Data was collected between 2019 and 2022 inclusive. Data and samples from individual sheep was collected using well-established fieldwork methods that have been used on this population continuously since 1985 as part of a long-term study. Sheep are caught and uniquely marked for identification at birth and then closely monitored throughout the year. Many of the study area animals are caught and measured and blood and faecal samples are taken each summer. Additionally, as part of this project, around 200 animals were faecal sampled regularly across the year by following and collecting samples off the pasture without capture. We used well-established 16S meta-barcoding methods to measure the bacterial community structure from faecal samples, and used methods described in the supplementary info document to measure parasite burden and immune phenotypes in faecal and blood samples, respectively. This data will allow us to test how variation in the gut bacterial community is shaped by genetics and environment, and in turn influences health and fitness, in animals experiencing natural conditions. It was conducted by a collaborative team based at the Universities of Edinburgh, Liverpool, Sheffield and Aberystwyth, the Moredun Research Institute and the James Hutton Institute. Full details about this dataset can be found at https://doi.org/10.5285/54f192dd-a9ca-4ecb-9540-a29a17669418