Heterozygosity-fitness correlations (HFCs) are increasingly reported but the underlying mechanisms causing HFCs are generally poorly understood. Here, we test for HFCs in roe deer (Capreolus capreolus) using 22 neutral microsatellites widely distributed in the genome and four microsatellites in genes that are potentially under selection. Juvenile survival was used as a proxy for individual fitness in a population that has been intensively studied for 30 years in northeastern France. For 222 juveniles, we computed two measures of genetic diversity: individual heterozygosity (H), and mean d² (relatedness of parental genomes). We found a relationship between genetic diversity and fitness both for the 22 neutral markers and two candidate genes: IGF1 (Insulin-like Growth Factor I) and NRAMP (natural resistance-associated macrophage protein). Statistical evidence and the size of genetic effects on juvenile survival were comparable to those reported for early development and cohort variation, suggesting a substantial influence of genetic components on fitness in this roe deer population. For the 22 neutral microsatellites, a correlation with fitness was revealed for mean d², but not for H, suggesting a possible outbreeding advantage. This heterosis effect could have been favored by introduction of genetically distant (Hungarian) roe deer to the population in recent times and, possibly, by the structuring of the population into distinct clans. The locus-specific correlations with fitness may be driven by growth rate advantages and resistance to diseases known to exist in the studied population. Our analyses of neutral and candidate gene markers both suggest that the observed HFCs are likely mainly due to linkage with dominant or overdominant loci that affect fitness (“local” effect) rather than to a genome-wide relationship with homozygosity due to inbreeding (“general” effect).