Neophobia is an important personality trait that allows animals to minimize exposure to threat. We investigated the existence of consistent individual differences in the level of neophobia in captive roe deer, Capreolus capreolus, using an experimental set-up. Our main objective was to explore the link between an individual's level of neophobia with behavioural and physiological responses measured during a stressful situation, i.e. capture and restraint, to facilitate characterization of neophobia in the wild. We found that the probability of initiating a feeding bout and the feeding efficiency over bouts both decreased in the presence of a novel object. However, there was pronounced variation in the degree to which individuals were affected by the experimental treatment. First, feeding efficiency decreased the most among individuals that reacted less markedly to an acutely stressful situation (capture). Second, latency between the first visit and the first feeding bout increased the most among individuals that had a higher concentration of fructosamine in their blood, an indicator of chronic stress. Our results indicate that individuals that are more neophobic (high latency to first feeding bout and low feeding efficiency in the presence of a novel object) are also less proactive (low behavioural response to capture, high levels of fructosamine), suggesting the existence of a behavioural syndrome. We conclude that behavioural and physiological parameters measured during capture provide reliable indicators of neophobia for roe deer, providing an exciting new avenue for the study of animal personality in the wild.