In female vertebrates, differences in fitness often correspond to differences in phenotypic quality, suggesting that larger females have greater fitness. Variation in individual fitness can result from variation in life span and/or variation in yearly reproductive success, but no study has yet assessed the relationships between the components of fitness and phenotypic quality while controlling for life span. We tried to fill this gap using data from long-term monitoring (23 years) of marked roe deer and bighorn sheep, two ungulates with very different life histories. In both species, we found a strong positive relationship between an adult female's mass and her probability of reaching old age: over the long term, bigger is indeed better for ungulate females. On the other hand, we found no evidence in either species that heavier females had higher fitness when differences in life span were accounted for: over the short term, bigger is not necessarily better. Our results indicate that, while broad differences in phenotypic quality affect individual fitness, when differences in life span are accounted for phenotypic quality has no residual effect on fitness. Therefore, within a given range of phenotypic quality, bigger is not always better, for reasons which may differ between species.