This is going to sound wild, but it's absolutely true. When I was young I kept snakes within a shed in my back yard. I had noticed a litter of wild rats had been deposited within the cinder blocks at the foot of the entrance to the shed. Just a day or two after noticing this, I had an escape occur... a small honduran milk snake had escaped his enclosure. I could not find him within the shed and presumed that he had escaped the shed (the door did not close quite tightly enough). I then considered the possibility that he had found the baby rats. I removed the cinder block that had previously contained the rats and found the snake coiled within. The rat litter was gone, and the snake was decidedly much fatter. During the months following this experience the snake continued to eat voraciously, but would not put on weight. The stools were watery and exceptionally foul. I eventually saw worms within the stool. The snake dies shortly thereafter. I attribute his death to parasites acquired from the rats consumed.
A mistake made by a very young novice.
I can't say that the parasites were transferred to the snake through the rats, but the experience convinced me that the practice of offering wild rodents to captive snakes is unwise.