Despite considerable theoretical interest no direct examples of density-dependent natural selection acting on simple polymorphic variation have been documented in a natural population. Here we show that the magnitude of selective differences in survival between phenotypes in two conspicuous polymorphisms of coat colour and horn type in Soay sheep Ovis aries living on St Kilda, Scotland are associated with marked changes in population density. Selection is strongest in years of high density but weak in years of low density. In addition to direct observations of density-dependent `soft' selection in a natural population, the analysis revealed that the level of overcompensatory mortality (responsible for promoting population instability) was higher after accounting for genetic variation in the coat and horn morph traits. The results emphasize the importance of understanding the interaction between selection and population demography for both genetic and ecological studies of natural populations.