In previous studies, sheep that are More Active and vocal in an arena test or during social isolation have been considered to be more fearful than Less Active and vocal sheep. Merino sheep at the University of Western Australia have been selectively bred for their behavioural responses to the presence of a human in an arena test and to social isolation, resulting in the creation of two divergent lines. The aim of this study was to determine whether More Active (MA) sheep were actually more fearful than Less Active (LA) sheep. We chose animals from the extremes of each selection line (i.e. the most active MA lambs and least active LA lambs) and measured for differences in their behavioural and adrenocortical responses to a human presented in an arena test. As expected, MA sheep crossed more zones and bleated more often than LA sheep; they also spent more time in proximity to the human, and investigated him more often and sooner (all Ps <0.01). Multivariate analysis of behaviour revealed two independent factors, the first reflecting the expression of active behaviours and the second, vigilance. The first factor may indicate the level of fear experienced in the arena test or the propensity of the individual to take risks (boldness). MA sheep were more bold (less fearful) than LA sheep (P = 0.0001) and had lower plasma cortisol concentrations immediately after the arena test (10-min sample back-transformed mean ± S.E.: MA 48.9 ± 3.4 nmol/L, LA 60.3 ± 4.2 nmol/L; P = 0.046). There was no difference between the flocks in vigilance (P = 0.422), and behavioural and adrenocortical responses were not significantly correlated. The difference between the groups appears to have been in the level of fear experienced or their boldness in the arena test. Although the animals used in this study were not representative of the two selection lines, the behavioural and adrenocortical evidence suggests that, contrary to expectation, the MA sheep were less fearful than the LA sheep in this test situation.