1. Given energetic constraints, female reproductive strategy is expected to be shaped by a trade-off between offspring size and offspring number, the optimal resolution of which may vary with environmental conditions. 2. We tested the hypothesis that selection will favour the production of larger litters, even at some expense to offspring size, under good conditions (and vice versa in harsh environments) using data from a long-term study of an unmanaged population of Soay sheep on the islands of St Kilda, NW Scotland. 3. Both litter size (which is either 1 or 2) and offspring birth weight are under positive selection through female annual fitness, but the strength of selection varies systematically with environmental conditions. Age effects were also detected, with selection weakening as female age increases. 4. Consistent with theoretical predictions, the selective trade-off between litter and offspring size is shifted in favour of the latter under poor environmental conditions. Thus, direct selection on offspring birth weight increases under harsh environmental conditions, particularly for females producing twins. 5. However, singletons are only favoured when environmental conditions are very poor, and offspring weight is constrained to be low. Thus, the current low incidence of twinning (13.5% of litters produced since 1985) appears to be suboptimal with respect to the empirically estimated selection regime. Thus, litter size, a trait known to be heritable, may be expected to evolve upwards in this population. 6. Our study highlights the necessity of incorporating environmental heterogeneity and age structure into analyses of natural selection, and suggests that the common assumption of optimality used in models of life history may sometimes be problematic.