Detailed observation of the movement of individual animals offers the potential to understand spatial population processes as the ultimate consequence of individual behaviour, physiological constraints and fine-scale environmental influences. However, movement data from individuals are intrinsically stochastic and often subject to severe observation error. Linking such complex data to dynamical models of movement is a major challenge for animal ecology. Here, we review a statistical approach, state-space modelling, which involves changing how we analyse movement data and draw inferences about the behaviours that shape it. The statistical robustness and predictive ability of state-space models make them the most promising avenue towards a new type of movement ecology that fuses insights from the study of animal behaviour, biogeography and spatial population dynamics.