Cognitive performance varies widely across animal species, but the processes underlying cognitive evolution remain poorly known. For cognitive abilities to evolve, performance must be linked to individual fitness benefits, but these links have been rarely studied in primates even though they exceed most other mammals in these traits. We subjected 198 wild gray mouse lemurs to four cognitive and two personality tests and subsequently monitored their survival in a mark-recapture study. Our study revealed that survival was predicted by individual variation in cognitive performance as well as body mass and exploration. Because cognitive performance covaried negatively with exploration, individuals gathering more accurate information enjoyed better cognitive performance and lived longer, but so did heavier and more explorative individuals. These effects may reflect a speed-accuracy trade-off, with alternative strategies yielding similar overall fitness. The observed intraspecific variation in selective benefits of cognitive performance, if heritable, can provide the basis for the evolution of cognitive abilities in members of our lineage.