The world is rapidly urbanizing, inviting mounting concern that urban environments will experience increased zoonotic disease risk. Urban animals could have more frequent contact with humans, therefore transmitting more zoonotic parasites; however, this relationship is complicated by sampling bias and phenotypic confounders. Here we test whether urban mammal species host more zoonotic parasites, investigating the underlying drivers alongside a suite of phenotypic, taxonomic and geographic predictors. We found that urban-adapted mammals have more documented parasites and more zoonotic parasites: despite comprising only 6% of investigated species, urban mammals provided 39% of known host–parasite combinations. However, contrary to predictions, much of the observed effect was attributable to parasite discovery and research effort rather than to urban adaptation status, and urban-adapted species in fact hosted fewer zoonotic parasites than expected on the basis of their total parasite richness. We conclude that extended historical contact with humans has had a limited impact on zoonotic parasite richness in urban-adapted mammals; instead, their greater observed zoonotic richness probably reflects sampling bias arising from proximity to humans, supporting a near-universal conflation between zoonotic risk, research effort and synanthropy. These findings underscore the need to resolve the mechanisms linking anthropogenic change, sampling bias and observed wildlife disease dynamics.