We consider mark-recapture-recovery data with additional individual time-varying continuous covariate data. For such data it is common to specify the model parameters, and in particular the survival probabilities, as a function of these covariates to incorporate individual heterogeneity. However, an issue arises in relation to missing covariate values, for (at least) the times when an individual is not observed, leading to an analytically intractable likelihood. We propose a two-step multiple imputation approach to obtain estimates of the demographic parameters. Firstly, a model is fitted to only the observed covariate values. Conditional on the fitted covariate model, multiple "complete" datasets are generated (i.e. all missing covariate values are imputed). Secondly, for each complete dataset, a closed form complete data likelihood can be maximised to obtain estimates of the model parameters which are subsequently combined to obtain an overall estimate of the parameters. Associated standard errors and 95 % confidence intervals are obtained using a non-parametric bootstrap. A simulation study is undertaken to assess the performance of the proposed twostep approach. We apply the method to data collected on a well-studied population of Soay sheep and compare the results with a Bayesian data augmentation approach.Supplementary materials accompanying this paper appear on-line.