Summary1. Density-dependent and climatic conditions experienced by individuals before and after birth differ considerably between cohorts. Such early environmental variability has the potential to create persistent fitness differences among cohorts. Here we test the hypothesis that conditions experienced by individuals in their early development will have long-term effects on their life history traits.2. We approached this by analysing and contrasting the effects of climate (the North Atlantic Oscillation, NAO) and population density at year of birth on cohort birth weight, birth date, litter size, age of maturity, survival and fecundity of Soay sheep, Ovies aries L., ewes in the population on the island of Hirta, St Kilda, Scotland.3. Significant intercohort variations were found in life history traits. Cohorts born after warm, wet and windy (high NAO) winters were lighter at birth, born earlier, less likely to have a twin and matured later than cohorts born following cold and dry (low NAO) winters. High population densities in the winter preceding birth also had a negative effect on birth weight, birth date and litter size, whereas high postnatal densities delayed age of first reproduction.4. High NAO winters preceding birth depressed juvenile survival but increased adult survival and fecundity. The negative influence of high NAO winters on juvenile survival is likely to be related to mothers’ compromised physical condition while the cohort is in utero, whereas the positive influence on adult survival and fecundity may relate to the improved postnatal forage conditions following high NAO winters. High pre- and postnatal population densities decreased juvenile (neonatal, yearling) and adult (2–4 years) survivorship but had no significant effect fecundity.