Variation in the social environment can have profound effects on survival and reproduction in wild social mammals. However, we know little about the degree to which these effects are influenced by genetic differences among individuals, and conversely, the degree to which social environmental variation mediates genetic reaction norms. To better understand these relationships, we investigated the potential for dominance rank, social connectedness and group size to modify the effects of genetic variation on gene expression in the wild baboons of the Amboseli basin. We found evidence for a number of gene-environment interactions (GEIs) associated with variation in the social environment, encompassing social environments experienced in adulthood as well as persistent effects of early life social environment. Social connectedness, maternal dominance rank and group size all interacted with genotype to influence gene expression in at least one sex, and either in early life or in adulthood. These results suggest that social and behavioural variation, akin to other factors such as age and sex, can impact the genotype-phenotype relationship. We conclude that GEIs mediated by the social environment are important in the evolution and maintenance of individual differences in wild social mammals, including individual differences in responses to social stressors.