Several epidemiological models predict a positive relationship between host population density and abundance of directly transmitted macroparasites. Here, we generalize these, and test the prediction by a comparative study. We used data on communities of gastrointestinal strongylid nematodes from 19 mammalian species, representing examination of 6670 individual hosts. We studied both the average abundance of all strongylid nematodes within a host species, and the two components of abundance, prevalence and intensity. The effects of host body weight, diet, fecundity and age at maturity and parasite body size were controlled for directly, and the phylogenetically independent contrast method was used to control for confounding factors more generally. Host population density and average parasite abundance were strongly positively correlated within mammalian taxa, and across all species when the effects of host body weight were controlled for. Controlling for other variables did not change this. Even when looking at single parasite species occurring in several host species, abundance was highest in the host species with the highest population density. Prevalence and intensity showed similar patterns. These patterns provide the first macroecological evidence consistent with the prediction that transmission rates depend on host population density in natural parasite communities.