Behaviour is a key interface between an animal’s genome and its environment. Repeatable individual differences in behaviour have been extensively documented in animals, but the molecular underpinnings of behavioural variation among individuals within natural populations remain largely unknown. Here, we offer a critical review of when molecular techniques may yield new insights, and we provide specific guidance on how and whether the latest tools available are appropriate given different resources, system and organismal constraints, and experimental designs. Integrating molecular genetic techniques with other strategies to study the proximal causes of behaviour provides opportunities to expand rapidly into new avenues of exploration. Such endeavours will enable us to better understand how repeatable individual differences in behaviour have evolved, how they are expressed and how they can be maintained within natural populations of animals.