Protozoan parasites of the genus Cryptosporidium infect all vertebrate groups and display some host specificity in their infections. It is therefore possible to assume that Cryptosporidium parasites evolved intimately aside with vertebrate lineages. Here we propose a scenario of Cryptosporidium–Vertebrata coevolution testing the hypothesis that the origin of Cryptosporidium parasites follows that of the origin of modern vertebrates. We use calibrated molecular clocks and cophylogeny analyses to provide and compare age estimates and patterns of association between these clades. Our study provides strong support for the evolution of parasitism of Cryptosporidium with the rise of the vertebrates about 600 million years ago (Mya). Interestingly, periods of increased diversification in Cryptosporidium coincides with diversification of crown mammalian and avian orders after the Cretaceous-Palaeogene (K-Pg) boundary, suggesting that adaptive radiation to new mammalian and avian hosts triggered the diversification of this parasite lineage. Despite evidence for ongoing host shifts we also found significant correlation between protozoan parasites and vertebrate hosts trees in the cophylogenetic analysis. These results help us to understand the underlying macroevolutionary mechanisms driving evolution in Cryptosporidium and may have important implications for the ecology, dynamics and epidemiology of cryptosporidiosis disease in humans and other animals.