Background The understanding of host-parasite systems in wildlife is of increasing interest in relation to the risk of emerging diseases in livestock and humans. In this respect, many efforts have been dedicated to controlling classical swine fever (CSF) in the European Wild Boar. But CSF eradication has not always been achieved even though vaccination has been implemented at a large-scale. Piglets have been assumed to be the main cause of CSF persistence in the wild since they appeared to be more often infected and less often immune than older animals. However, this assumption emerged from laboratory trials or cross-sectional surveys based on the hunting bags. Methodology/Principal Findings In the present paper we conducted a capture-mark-recapture study in free-ranging wild boar piglets that experienced both CSF infection and vaccination under natural conditions. We used multi-state capture recapture models to estimate the immunization and infection rates, and their variations according to the periods with or without vaccination. According to the model prediction, 80% of the infected piglets did not survive more than two weeks, while the other 20% quickly recovered. The probability of becoming immune did not increase significantly during the summer vaccination sessions, and the proportion of immune piglets was not higher after the autumn vaccination. Conclusions/Significance Given the high lethality of CSF in piglets highlighted in our study, we consider unlikely that piglets could maintain the chain of CSF virus transmission. Our study also revealed the low efficacy of vaccination in piglets in summer and autumn, possibly due to the low palatability of baits to that age class, but also to the competition between baits and alternative food sources. Based on this new information, we discuss the prospects for the improvement of CSF control and the interest of the capture-recapture approach for improving the understanding of wildlife diseases.