Exposure to chronic stress early on during development has important deleterious consequences later in life, reducing important components of individual fitness such as survival and future reproduction. In this study, we evaluate the factors associated with physiological response to stress in fledgling Lesser Kestrels Falco naumanni, paying particular attention to the potential role of individual genetic diversity. For this purpose, we used heterophil/lymphocyte ratios (H/L ratio) as a haematological stress indicator and typed the analysed individuals at 11 highly polymorphic microsatellite loci, which allowed us to estimate their genetic diversity. We found that the H/L ratio decreases with fledgling physical condition, suggesting that this parameter is a good indicator of nutritionally based physiological stress. Physiological response to stress was higher in males than in females and this effect was independent of physical condition, suggesting that the observed pattern is due to inherent sexual differences in the factors influencing H/L ratios. Finally, the H/L ratio was positively associated with the genetic diversity of offspring. Previous experimental studies have found that individuals with higher genetic diversity show increased levels of circulating glucocorticoids, which in turn are directly responsible for increasing H/L ratios. On this basis, we suggest that a positive effect of genetic diversity on corticosterone levels may explain the observed association between H/L ratios and individual heterozygosity. Overall, this study highlights the utility of leucocyte profiles to study stress in wild bird populations and poses an interesting question about the effects of individual genetic diversity on haematological response to stress.