Protected areas play a key role in biodiversity conservation. Many statutory protected areas have been created through a top-down approach whereby local people are displaced with little or no compensation and are denied access to natural resources within the protected area boundaries. Prohibiting access to natural resources within protected areas can have numerous negative social and economic impacts on local people who have traditionally relied on those resources for their livelihoods. However, few studies have used rigorous econometric approaches (i.e., application of statistical methods to economic data) to assess socio-economic impacts of protected areas on local people. Here, we assessed the potential impacts of Maasai Mara National Reserve in Kenya on the welfare (indicated by levels of income, consumption, and assets) and poverty incidence of 423 randomly selected local households. Although our analyses are based on self-reported cross-sectional data (i.e. a snapshot in time analysis), the results suggest that the Maasai Mara National Reserve did not have a statistically significant effect on household welfare as measured by annual income, assets and per capita expenditures of the households, and depth of poverty. All households that lived around the protected area were denied access to natural resources within the protected area including pasture for livestock. Moreover, households that lived adjacent to the protected area (i.e., lived within 5 km of the boundary) incurred greater losses caused by wildlife than distant households (i.e., lived 5 to 25 km from the boundary). Nevertheless, most of the households held positive views about the conservation role of the protected area and benefits that they had already gained or expected to gain from it in the future. Protected area-adjacent households that bear disproportionately larger conservation costs need support to limit losses caused by wildlife.