Cophylogenetic studies examine the relationship between host and parasite evolution. One aspect of cophylogenetic studies that has had little modern discussion is parasites with multiple definitive hosts. Parasite species with multiple host species are anomalous as, under a codivergence paradigm, speciation by the hosts should cause speciation of their parasites. We discuss situations such as cryptic parasite species, recent host switching or failure to speciate that may generate multi-host parasites. We suggest methods to identify which of the mechanisms have led to multi-host parasitism. Applying the suggested methods may allow multi-host parasites to be integrated more fully into cophylogenetic studies.