The predictive adaptive response (PAR) hypothesis proposes that animals adjust their physiology and developmental trajectory during early life in anticipation of their future environments. Accordingly, when environmental conditions in early life match environmental conditions during adulthood, individual fitness should be greater. Here, we test this hypothesis in a long-lived mammal, the roe deer, using data from two contrasting populations, intensively monitored for more than 35 years. In the highly productive site, the fitness of female roe deer increased with the quality of environment during adulthood and, contrary to predictions of PAR, individuals born in good conditions always outperformed those born under poor conditions. In the resource-limited site, the fitness of female roe deer born in poor years was better than those born in good conditions in poor years when the animals were adult, but not in good years. Although consistent with predictions of PAR, we showed that this pattern is likely to be a consequence of increased viability selection during the juvenile stage for animals born in poor years. While PARs are often advanced in evolutionary medicine, our findings suggest that detailed biological processes should be investigated before drawing conclusions about the existence of this phenomenon.