Accurate estimation of survival probabilities is an important component of population demographics, and it permits a test of the life-history prediction that densities influence population dynamics via suppression of survival rates. As part of a long-term study of urban-nesting Merlins (Falco columbarius), we estimated survival rates and tested for the effects of density dependence based on capture histories from 1,354 individuals (43 males and 110 females caught for the first time as adult breeding birds, and 597 males and 604 females caught for the first time as locally produced nestlings). Overall capture probabilities were 0.55 ± SD of 0.039 per year for adults, 0.10 ± 0.075 per year for juvenile males, and 0.58 ± 0.23 per year for juvenile females. Mean survival rate of adults was 0.62 ± 0.11 per year and did not differ significantly between males and females. Overall juvenile survival rates were 0.23 ± 0.032 for males and 0.055 ± 0.012 for females. Band returns suggest that the discrepancy in survival rates between juvenile males and females resulted from higher natal dispersal of females rather than from lower survival. Survival of adults (but not juveniles) was negatively density dependent, suggesting that density-dependent declines in survival exerted a regulatory effect on population size.