The Eurasian lynx (Lynx lynx) causes large loss of free-ranging domestic sheep in Norway. We tested whether the observed higher kill rates by male lynx than female lynx were related to an association between the availability of the main natural prey, as measured by roe deer (Capreolus capreolus) habitat suitability, presence of sheep, and habitat selection of male and female lynx. We found that lynx selected areas with high roe deer suitability during summer and winter. Moreover, during summer, compared to male lynx, females had greater selection for roe deer areas and a stronger avoidance for sheep grazing areas, which suggests that previously observed differences in kill rates between male and female lynx can be attributed to sex-specific habitat use during summer. The connection between lynx habitat use and roe deer also was reflected in a positive relationship between the roe deer suitability of a sheep grazing area and the total loss of lambs, which suggests that livestock, rather than being actively selected, are mainly killed by lynx incidentally when encountered during other lynx activities (e.g., searching for natural prey species). Therefore, any management practice that separates lynx and sheep, such as concentrating livestock into small patches or less preferred habitats, may reduce depredation.