Vaccines can have nontargeted heterologous effects that manifest as increased protection against nonvaccine infections, as described for measles vaccine (MV), or increased susceptibility to infections and death, as described following diphtheria-tetanus-whole cell pertussis (DTP) vaccination. The mechanisms are unknown, and high-quality immunological studies are lacking. This study was designed to investigate the heterologous effects of MV and DTP in 302 Gambian infants. The results support a sex-differential immunosuppressive effect of DTP on innate proinflammatory responses and T-cell immunity. Males but not females receiving MV had enhanced proinflammatory innate responses. The results point to modified signaling via Toll-like receptor 4 (TLR4) as a possible mechanism for the effects on innate immunity. When both vaccines were administered together, purified protein derivative responses were enhanced in females but downregulated in males. Collectively, these data indicate immunological effects that could account for heterologous effects of MV and DTP, to take forward into prospective trials.