Predators play a critical, top–down role in shaping ecosystems, driving prey population and community dynamics. Traditionally, studies of predator-prey interactions have focused on direct effects of predators, namely the killing of prey. More recently, the non-consumptive effects of predation risk are being appreciated; e.g. the ‘ecology of fear’. Prey responses to predation risk can be morphological, behavioural, and physiological, and are assumed to come at a cost to prey fitness. However, few studies have examined the relationship between predation risk and survival in wild animals. We tested the hypothesis that predation risk itself could reduce survival in wild-caught snowshoe hares. We exposed female snowshoe hares to a simulated predator (a trained dog) during gestation only, and measured adult survival and, in surviving females, their ability to successfully wean offspring. We show for the first time in a wild mammal that the risk of predation can itself be lethal. Predation risk reduced adult female survival by 30%, and had trans-generational effects, reducing offspring survival to weaning by over 85% – even though the period of risk ended at birth. As a consequence of these effects the predator-exposed group experienced a decrease in number, while the control group substantially increased. Challenges remain in determining the importance of risk-induced mortality in natural field settings; however, our findings show that non-lethal predator encounters can influence survival of both adults and offspring. Future work is needed to test these effects in free-living animals.