1. Dispersal behaviour is a potentially risky life-history strategy that can impact habitat use as well as competition over territories and mates. 2. I studied natural selection on dispersal behaviour over the course of four breeding seasons in a Bahamian population of brown anoles (Anolis sagrei). 3. Both males and females showed extremely high site fidelity over the course of each reproductive season. Movement distance in males was negatively correlated with body size at first capture in spring (small males dispersed further). Moreover, differences in body size between dispersing males and the body size of the male territory residents that they replaced were correlated with the distance that males dispersed. Relatively larger males dispersed shorter distances compared with relatively smaller males. There was no relationship between dispersal distance and body size in females. However, females were more likely to disperse away from areas of low female density and into areas of higher female density, and female dispersal distances were negatively correlated with the number of female neighbours at the site of capture in spring (before dispersal). 4. These data suggest that, whereas male dispersal is driven by inter-male competition, female dispersal is more likely related to variation in territory quality. 5. Natural selection acted on dispersal distance in conjunction with male, but not female body size. Although smaller males were the more likely to disperse, these males paid a high cost in terms of viability indicating that dispersal is a potentially risky strategy.