Despite increasing interest, animal personality is still a puzzling phenomenon. Several theoretical models have been proposed to explain intraindividual consistency and interindividual variation in behaviour, which have been primarily supported by qualitative data and simulations. Using an empirical approach, I tested predictions of one main life-history hypothesis, which posits that consistent individual differences in behaviour are favoured by a trade-off between current and future reproduction. Data on life-history were collected for individuals of a natural population of grey mouse lemurs (Microcebus murinus). Using open-field and novel-object tests, I quantified variation in activity, exploration and boldness for 117 individuals over 3 years. I found systematic variation in boldness between individuals of different residual reproductive value. Young males with low current but high expected future fitness were less bold than older males with high current fecundity, and males might increase in boldness with age. Females have low variation in assets and in boldness with age. Body condition was not related to boldness and only explained marginal variation in exploration. Overall, these data indicate that a trade-off between current and future reproduction might maintain personality variation in mouse lemurs, and thus provide empirical support of this life-history trade-off hypothesis.