Let $\mathbb{V}$ be a representation of a Lie group $G$ and let $P \to M$ be a principal $G$-bundle with a principal connection. If $\mathbb{V}$ is finite-dimensional, then one can associate to this data an associated vector bundle $P\times_G \mathbb{V}$ with linear connection. I thought that basically the same construction should work also when $\mathbb{V}$ is an infinite-dimensional representation, but I haven't found any textbook that would not constrain itself to finite rank. All the textbooks concerning to infinite-dimensional differential geometry that I know of (Michor, Lang, Neeb) doesn't treat associated bundles and induced connections.

Edit:

I now realize that it may not be as straightforward as it seems on a first glance. I want to, in fact, generalize a slightly more complicated construction -- the so called tractor connection induced by a Cartan connection.

Changing the notation a little bit, given a finite-dimensional Lie group $G$ with a closed subgroup $H$, I need to work with an infinite-dimensional vector space $\mathbb{V}$ which is a representation of $\mathfrak{g}$ and also a representation of $H$ (so I can form associated bundles to $H$-principal bundles) with these two representation being compatible. Practically, I am interested mainly in Harish-Chandra modules and their globalizations. I think I am also fine with just a "sort of connection" working on some dense subbundle of the associated bundle and so $L^2$-globalizations are also OK.

I can briefly describe the construction for $\mathbb{V}$ being finite-dimensional representation of $G$ if it is needed.

Riemannian Geometrydiscusses connections on infinite dimensional bundles, but not associated bundles. – S. Carnahan♦ Feb 13 '12 at 1:18