Winter climate at northern latitudes is a challenge to small-bodied ungulates, and they modify behaviour to save energy and to increase the likelihood of survival. Also, the ongoing expansion of large carnivores in several European countries can lead to the recovery of (potentially energetically costly) anti-predator behaviours. In an area recently recolonized by Eurasian lynx Lynx lynx, we snow-tracked radio-collared roe deer Capreolus capreolus in order to investigate their bedding and feeding behaviour during winter, and assess how environmental factors affect their habitat use. We also tested the prediction that roe deer use more open sites than locally available in areas with a stalking predator such as the lynx. Our results showed that both bed sites and foraging sites had more cover, compared with random sites. Most of the variation in canopy cover and in the distance and foraging sites between bed sites and foraging sites was explained by prevailing weather. As the winter progressed, the presumed depletion of fat reserves promoted the use of more canopy cover at foraging sites by night, less by day and a decrease in the distance between beds, foraging sites and human activities. Males used artificial feeding sites less often and bedded further from humans than females. The data fit the hypothesis of tighter energy budgets for family groups (females with fawns) or that males are more cautious towards humans. There was no support for the hypothesis that roe deer used more open habitat than locally available in order to reduce their vulnerability to lynx predation. Owing to severe winter conditions and the danger of starvation, roe deer seem to be forced to accept a high risk when predators are present, not changing their main pattern of habitat use from comparative areas where predators are absent.