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Individual variation in behaviour can contribute to the heterogeneous distribution of parasites among hosts for example by affecting the probability of encountering infective stages (larvae). Here, we investigated the relationship between host boldness/exploration tendency and gastro-intestinal helminth infection in invasive Eastern grey squirrels (Sciurus carolinensis). We used direct helminth counts, data rarely available in host-parasite studies that often used less reliable indirect estimates of infection. We predicted that bolder animals with a strong exploration tendency will have higher parasite load than shy, less explorative hosts. We examined two parameters of parasite infection: infection status and intensity of infection. Individual personality of 207 grey squirrels was assessed by capture-mark-recapture (CMR), calculating the trappability and trap diversity indices as estimates of boldness and exploration, respectively. Since both indices were strongly correlated, we used PCA to derive a single score (first component) which had a high value for bold, exploring animals. At the end of the study, 77 individuals were euthanized and gastro-intestinal helminths were identified and counted. Overall 73% of grey squirrels were infected by Strongyloides robustus with the intensity of infection varying from 1 to 86 worms (mean ± SE = 10.7 ± 2.1 helminths per host). We found that bolder, more explorative animals were more likely to be infected by S. robustus. However, host personality was not related to parasite intensity, which was instead positively associated with host body mass. Our results confirm that differences in personality-related host behaviour can influence the distribution of infections within host populations and stimulate further questions on whether such personality-parasite relationships may affect the invasion process.