Dispersal is a key process in population and evolutionary ecology. Individual decisions are affected by fitness consequences of dispersal, but these are difficult to measure in wild populations. A long-term dataset on a geographically closed bird population, the Mauritius kestrel, offers a rare opportunity to explore fitness consequences. Females dispersed further when the availability of local breeding sites was limited, whereas male dispersal correlated with phenotypic traits. Female but not male fitness was lower when they dispersed longer distances compared to settling close to home. These results suggest a cost of dispersal in females. We found evidence of both short- and long-term fitness consequences of natal dispersal in females, including reduced fecundity in early life and more rapid aging in later life. Taken together, our results indicate that dispersal in early life might shape life history strategies in wild populations.