Consistent among-individual differences in behavioural traits (animal personality) have been documented in several animal taxa. However, mechanisms driving the evolution and maintenance of such differences in natural populations are still unclear. One widely upheld hypothesis emphasizes trade-offs between survival and reproduction as such a mechanism; e.g., risk-taking individuals often have higher reproductive success but also higher mortality. Hence, a key prediction is that individuals expressing riskier behaviours should suffer greater mortality. Recent reviews have questioned the generality of trade-offs-based explanations of consistent among-individual differences in behavioural traits. A fundamental research gap here is that a direct link between a personality trait and mortality risk has rarely been documented in the wild. We studied risk-taking behaviour (boldness) of incubating common goldeneye (Bucephala clangula) females, a hole-nesting precocial avian species. Repeatability of female behaviour along the shy-bold continuum was high within a season: we observed little within-individual variation but consistent differences among females. We found that, among incubating females that faced a nest predator that could kill a female, those females that behaved bold against human-induced disturbance were killed with a high probability. Females that got killed were not exceptional in terms of nesting or in terms of overall predation risk of the nest sites (proportion of depredated nesting attempts in a nestbox) they occupied compared with females in randomly drawn samples from the pooled data of killed and survived females. Hence, our study provides direct evidence of a predation cost of a personality trait (highly repeatable boldness) under natural conditions.