Mechanisms of species coexistence allow incredible diversity to form and persist within ecosystems. Theory shows that stable coexistence is favoured when density feedback is concentrated within species compared with between species. Such density feedback can be generated by natural enemies, such as predators, parasites, and diseases. However, methodologically robust field tests of whether and how density feedback favours coexistence are almost completely lacking due to logistical barriers. We conducted a field-based, replicated, manipulative experiment whereby the densities of host species, Hydrobiosidae caddisfly egg masses, were perturbed by altering the density of suitable oviposition resources (emergent rocks; ER) in their natural habitat. The ensuing rates of infection by the oomycetes Saprolegnia spp., which infects and kills caddisfly eggs, were then recorded over different scales (whole sites, individual rocks, and clusters of egg masses on the same rock). The successful density manipulation permitted robust tests of whether infection by a shared natural enemy mediates density feedback between caddisfly species in a manner that promotes coexistence. We found density-dependent infection, with the strength and direction of density dependence varying between species. Positive, intraspecific density dependence observed in the most abundant species and negative, interspecific density dependence observed in three rarer species have potentially important outcomes for species coexistence.