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Genes of the major histocompatibility complex (MHC) play a central role in adaptive immune responses of vertebrates. They exhibit remarkable polymorphism, often crossing species boundaries with similar alleles or allelic motifs shared across species. This pattern may reflect parallel parasite-mediated selective pressures, either favouring the long maintenance of ancestral MHC allelic lineages across successive speciation events by balancing selection ("trans-species polymorphism"), or alternatively favouring the independent emergence of functionally similar alleles post-speciation via convergent evolution. Here, we investigate the origins of MHC similarity across several species of dwarf and mouse lemurs (Cheirogaleidae). We examined MHC class II variation in two highly polymorphic loci (DRB, DQB) and evaluated the overlap of gut-parasite communities in four sympatric lemurs. We tested for parasite-MHC associations across species to determine whether similar parasite pressures may select for similar MHC alleles in different species. Next, we integrated our MHC data with those previously obtained from other Cheirogaleidae to investigate the relative contribution of convergent evolution and co-ancestry to shared MHC polymorphism by contrasting patterns of codon usage at functional vs. neutral sites. Our results indicate that parasites shared across species may select for functionally similar MHC alleles, implying that the dynamics of MHC-parasite co-evolution should be envisaged at the community level. We further show that balancing selection maintaining trans-species polymorphism, rather than convergent evolution, is the primary mechanism explaining shared MHC sequence motifs between species that diverged up to 30 million years ago.