The assessment of genetic architecture and selection history in genes for behavioural traits is fundamental to our understanding of how these traits evolve. The dopamine receptor D4 (DRD4) gene is a prime candidate for explaining genetic variation in novelty seeking behaviour, a commonly assayed personality trait in animals. Previously, we showed that a single nucleotide polymorphism in exon 3 of this gene is associated with exploratory behaviour in at least one of four Western European great tit (Parus major) populations. These heterogeneous association results were explained by potential variable linkage disequilibrium (LD) patterns between this marker and the causal variant or by other genetic or environmental differences among the populations. Different adaptive histories are further hypothesized to have contributed to these population differences. Here, we genotyped 98 polymorphisms of the complete DRD4 gene including the flanking regions for 595 individuals of the four populations. We show that the LD structure, specifically around the original exon 3 SNP is conserved across the four populations and does not explain the heterogeneous association results. Study-wide significant associations with exploratory behaviour were detected in more than one haplotype block around exon 2, 3 and 4 in two of the four tested populations with different allele effect models. This indicates genetic heterogeneity in the association between multiple DRD4 polymorphisms and exploratory behaviour across populations. The association signals were in or close to regions with signatures of positive selection. We therefore hypothesize that variation in exploratory and other dopamine-related behaviour evolves locally by occasional adaptive shifts in the frequency of underlying genetic variants.