Studies of predator-mediated selection on behaviour are critical for our understanding of the evolution and maintenance of behavioural diversity in natural populations. Consistent individual differences in prey behaviour, especially in the propensity to take risks ("boldness"), are widespread in the animal kingdom. Theory predicts that individual behavioural types differ in a cost-benefit trade-off where bolder individuals benefit from greater access to resources while paying higher predation-risk costs. However, explicitly linking predation events to individual behaviour under natural conditions is challenging and there is currently little data from the wild. We assayed individual behaviour and electronically tagged hundreds of fish (roach, Rutilus rutilus) before releasing them into their lake of origin, thereby exposing them to predation risk from avian apex predators (cormorants, Phalacrocorax carbo). Scanning for regurgitated tags at the cormorant roosting site provided data on individual predation events. We found that fish with higher boldness have a greater susceptibility to cormorant predation compared to relatively shy, risk-averse individuals. Our findings hereby provide unique and direct evidence of behavioural type-dependent predation vulnerability in the wild, i.e. that there is a predation cost to boldness, which is critical for our understanding of the evolution and maintenance of behavioural diversity in natural populations.