A functional immune system is important for survival in natural environments, where individuals are frequently exposed to parasites. Yet strong immune responses may have fitness costs if they deplete limited energetic resources or cause autoimmune disease. We have found associations between fitness and heritable self-reactive antibody responsiveness in a wild population of Soay sheep. The occurrence of self-reactive antibodies correlated with overall antibody responsiveness and was associated with reduced reproduction in adults of both sexes. However, in females, the presence of self-reactive antibodies was positively associated with adult survival during harsh winters. Our results highlight the complex effects of natural selection on immune responsiveness and suggest that fitness trade-offs may maintain immunoheterogeneity, including genetic variation in autoimmune susceptibility.