Because of its common negative association with fitness, inbreeding is a major concern in conservation biology. Traditionally it has been measured as individual inbreeding coefficient calculated from the pedigree, but recently multilocus heterozygosity estimates have become commonly used as proxies. However, theoretical and simulation studies have cast doubt on the validity of these surrogates especially when they are based on only a few molecular markers. Yet, empirical studies reporting the correlation between multilocus heterozygosity and inbreeding coefficient are rare. We studied this relationship in a wild Siberian jay (Perisoreus infaustus) population subject to a long-term field study over 30 years. The correlations between inbreeding coefficient and the employed heterozygosity measures—standardized heterozygosity and internal relatedness—based on 21 microsatellite loci were weak. These results together with results from theoretical and simulation studies caution against use of multilocus heterozygosity estimates to study inbreeding in natural populations.