Abstract Environmental conditions during early development, from conception to sexual maturity, can have lasting consequences on fitness components. Although adult life span often accounts for much of the variation in fitness in long‐lived animals, we know little about how early environment affects adult life span in the wild, and even less about whether these effects differ between the sexes. Using data collected over 45 years from wild bighorn sheep ( Ovis canadensis ), we investigated the effects of early environment on adult mortality in both sexes, distinguishing between natural and anthropogenic sources of mortality. We used the average body mass of yearlings (at about 15 months of age) as a yearly index of environmental quality. We first examined sex differences in natural mortality responses to early environment by censoring harvested males in the year they were shot. We then investigated sex differences in the effects of early environment on overall mortality (natural and hunting mortality combined). Finally, we used path analysis to separate the direct influence of early environment from indirect influences, mediated by age at first reproduction, adult mass and horn length. As early environmental conditions improved, natural adult mortality decreased in both sexes, although for males the effect was not statistically supported. Sex differences in the effects of early environment on adult mortality were detected only when natural and hunting mortality were pooled. Males that experienced favourable early environment had longer horns as adults and died earlier because of trophy hunting, which does not mimic natural mortality. Females that experienced favourable early environment started to reproduce earlier and early primiparity was associated with reduced mortality, suggesting a silver‐spoon effect. Our results show that early conditions affect males and females differently because of trophy hunting. These findings highlight the importance of considering natural and anthropogenic environmental factors across different life stages to understand sex differences in mortality.