Geneticists have been interested in inbreeding and inbreeding depression since the time of Darwin. Two alternative approaches that can be used to measure how inbred an individual is involve the use of pedigree records to estimate inbreeding coefficients or molecular markers to measure multilocus heterozygosity. However, the relationship between inbreeding coefficient and heterozygosity has only rarely been investigated. In this paper, a framework to predict the relationship between the two variables is presented. In addition, microsatellite genotypes at 138 loci spanning all 26 autosomes of the sheep genome were used to investigate the relationship between inbreeding coefficient and multilocus heterozygosity. Multilocus heterozygosity was only weakly correlated with inbreeding coefficient, and heterozygosity was not positively correlated between markers more often than expected by chance. Inbreeding coefficient, but not multilocus heterozygosity, detected evidence of inbreeding depression for morphological traits. The relevance of these findings to the causes of heterozygosity--fitness correlations is discussed and predictions for other wild and captive populations are presented.