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Climate warming impacts ecosystems through multiple interacting pathways, including via direct thermal responses of individual taxa and the combined responses of closely interacting species. In this study, we examined how warming and infection by an oomycete parasite (Saprolegnia) affect the dominant zooplankter of Russia's Lake Baikal, the endemic copepod Epischurella baikalensis. We used a combination of laboratory experiments, long‐term monitoring data, and population modeling. Experiments showed a large difference in the thermal optima of host and parasite, with strong negative effects of warm temperatures on E. baikalensis survival and reproduction and a negative effect of Saprolegnia infection on survival. Saprolegnia infection had an unexpected positive effect on E. baikalensis reproductive output, which may be consistent with fecundity compensation by females exposed to the parasite. Long‐term monitoring data suggested that Saprolegnia infections were most common during the warmest periods of the year. Population models, parameterized with experimental and literature data, correctly predicted the timing of Saprolegnia epizootics, but overestimated the negative effect of warming on E. baikalensis populations. Models suggest that diel vertical migration may allow E. baikalensis to escape the negative effects of increasing temperatures and parasitism and enable E. baikalensis to persist in the face of moderate warming of Lake Baikal. Our results contribute to understanding of how warming and parasitism interact to affect the pelagic ecosystems of cold lakes and oceans and how the consequences of these interacting stressors can vary seasonally, spatially, and interannually. [ABSTRACT FROM AUTHOR]