Roost site selection is a state-dependent process, affected by the individual's costs and benefits of roosting at a specific site in the available environment. Costs and benefits of different roost sites vary in relation to intrinsic factors and environmental conditions. Thus, the cost–benefit functions of roost sites are expected to differ between seasons and life-history stages, resulting in adjustments in roost site selection. Studying roost site selection throughout the year therefore provides information about year-round habitat requirements at different life-history stages. However, little is known about the roosting behaviour of birds. Here, the roost site selection of Little Owls Athene noctua was studied by repeated daytime location of 24 adult and 75 juvenile radiotagged individuals from July to November. Little Owls preferred sheltered roost sites such as tree cavities with multiple entrances. They increasingly used sheltered sites from summer to winter and preferentially used sheltered roost sites with low ambient temperatures. Juveniles used significantly less sheltered sites during dispersal than before and afterwards, and used less sheltered sites than adults within their home-range. The survival probability of birds roosting frequently at exposed sites was reduced. Roost site selection is probably driven by the two mechanisms of predator avoidance and thermoregulation, and the costs of natal dispersal may include increased predation threat and higher energy expenditure for thermoregulation. We suggest that adequate roost sites, such as multi-entrance tree cavities, are an important habitat requirement for Little Owls and that habitat quality can be affected by manipulating their availability.