Gastrointestinal nematodes (GINs) represent a major and persistent threat to the health and productivity of small ruminants. Increasing anthelmintic resistance has made traditional drugs less effective, requiring sustainable alternatives. Among the most promising solutions are natural anthelmintics: bioactive compounds and organisms derived from plants, essential oils, condensed tannins, saponins, probiotics, and nematophagous fungi. These natural agents are not just supplementary but vital for integrated parasite control. This review examines the host–parasite relationship, focusing on resistance, tolerance, and resilience, and discusses the impact of GINs on productivity. It evaluates natural anthelmintics, including their mechanisms, efficacy, benefits, and safety. To ensure the successful integration of natural anthelmintics into mainstream parasite control programs, future research must prioritize real-world validation, longitudinal safety assessments, and comprehensive cost–benefit analyses.