Animal ecology and evolution have long been known to shape host physiology, but more recently, the gut microbiome has been identified as a mediator between animal ecology and evolution and health. The gut microbiome has been shown to differ between wild and domestic animals, but the role of these differences for domestic animal evolution remains unknown. Gut microbiome responses to new animal genotypes and local environmental change during domestication may promote specific host phenotypes that are adaptive (or not) to the domestic environment. Because the gut microbiome supports host immune function, understanding the effects of animal ecology and evolution on the gut microbiome and immune phenotypes is critical. We investigated how domestication affects the gut microbiome and host immune state in multiple pig populations across five domestication contexts representing domestication status and current living conditions: free-ranging wild, captive wild, free-ranging domestic, captive domestic in research or industrial settings. We observed that domestication context explained much of the variation in gut microbiome composition, pathogen abundances, and immune markers, yet the main differences in the repertoire of metabolic genes found in the gut microbiome were between the wild and domestic genetic lineages. We also documented population-level effects within domestication contexts, demonstrating that fine scale environmental variation also shaped host and microbe features. Our findings highlight that understanding which gut microbiome and immune traits respond to host genetic lineage and/or scales of local ecology could inform targeted interventions that manipulate the gut microbiome to achieve beneficial health outcomes.