SpaceLizard has pointed out that your parasites would have to be big to have an intelligent nervous system, and therefore the hosts would have to be much bigger.
But what if a parasite depended on a group of hosts, rather than just one?
What if that parasite at one stage depended on one host, and then on another at another stage?
Such a parasite could develop complex life strategies, which in turn would tend to increase its intelligence, making it capable of even more complex behavior.
It could even deduce that, being successful by parasitizing multiple hosts, it could be even more successful by cooperating with other parasites.
So for instance, during the first stage of its life it could live within the body of its parent. Next it could live by ingesting fluids from several host bodies where no single one would be large enough to sustain it. Later on it could live on the products of several smaller hosts for an indefinite time, while itself breeding.
It might even become intelligent enough to supplement its diet from other sources, and learn to process the products of the living beings it bred on.
By cooperating with other such parasites, it could perhaps develop division of labor.
And such parasites being intelligent, it might occur to some of them that they can be parasites at second hand, living off other parasites of their kind.
Hey wait a minute - fetuses, milk, eggs for breakfast, farmers - politicians - bankers -- sounds like Homo sapiens!
Sometimes it seems like Nature has answers for all our questions, whether we like the answers or not.