As long as your dog is up to date on shots and stuff he should be fine. My Sadie has caught a couple of small wild animals (despite not being a great hunter) and unfortunately I just found out she has round worm. Not sure what it's from but I did miss 2 months of heart worm medicine around the same time she caught a rat . Just be sure to have a stool sample tested regularly as KYS mentioned. Dogs will be dogs.