In population and conservation genetics, there is an overwhelming body of evidence that genetic diversity is lost over time in small populations. This idea has been supported by comparative studies showing that small populations have lower diversity than large populations. However, longitudinal studies reporting a decline in genetic diversity throughout the whole history of a given wild population are much less common. Here, we analysed changes in heterozygosity over time in an insular mouflon (Ovis aries) population founded by two individuals in 1957 and located on one of the most isolated locations in the world: the Kerguelen Sub-Antarctic archipelago. Heterozygosity measured using 25 microsatellite markers has actually increased over 46 years since the introduction, and exceeds the range predicted by neutral genetic models and stochastic simulations. Given the complete isolation of the population and the short period of time since the introduction, changes in genetic variation cannot be attributed to mutation or migration. Several lines of evidence suggest that the increase in heterozygosity with time may be attributable to selection. This study shows the importance of longitudinal genetic surveys for understanding the mechanisms that regulate genetic diversity in wild populations.