Behaviour under conditions of mild stress shows consistent patterns in all vertebrates: exploratory behaviour, boldness, aggressiveness covary in the same way. The existence of highly consistent individual variation in these behavioural strategies, also referred to as personalities or coping styles, allows us to measure the behaviour under standardized conditions on birds bred in captivity, link the standardized measurements to the behaviour under natural conditions and measure natural selection in the field. We have bred the great tit (Parus major), a classical model species for the study of behaviour under natural conditions, in captivity. Here, we report a realized heritability of 54 ± 5% for early exploratory behaviour, based on four generations of bi-directional artificial selection. In addition to this, we measured hand-reared juveniles and their wild-caught parents in the laboratory. The heritability found in the mid-offspring-mid-parent regression was significantly different from zero. We have thus established the presence of considerable amounts of genetic variation for personality types in a wild bird.