Although it is generally expected that inbreeding would lower fitness, few studies have directly quantified the effects of inbreeding in wild mammals. We investigated the effects of inbreeding using long‐term data from bighorn sheep on Ram Mountain, Alberta, Canada, over 20 years. This population underwent a drastic decline from 1992 to 2002 and has since failed to recover. We used a pedigree to calculate inbreeding coefficients and examined their impact on lamb growth, birth date and survival. Inbreeding had a substantial effect on female survival: for a given mass in September, the probability of overwinter survival for inbred female lambs was about 40% lower than that of noninbred ones. Contrary to our expectations, inbred female lambs were born earlier than noninbred ones. Earlier birth led to inbred female lambs being heavier by mid‐September than noninbred ones. There was a nonsignificant trend for inbred female yearlings to weigh more than noninbred ones. A stronger mass‐dependent viability selection for inbred compared to noninbred female lambs may explain why surviving inbred females were heavier than noninbred ones. Survival of male lambs was not affected by inbreeding. Sex‐differential effects of inbreeding may be a general pattern in sexually dimorphic mammals, because of sex‐biased maternal care or sexual differences in early development strategies.