Though Lyra, the protagonist of the novel, doesn't know it, her life is guided by fate. Lyra's existence was foretold in a prophecy, which says that she's destined to both save the world and unwittingly lead someone else to their sacrifice. An important part of the prophecy, however, is the fact that Lyra must not know that she's destined to do this—she must believe that she's acting of her own free will, or she's going to fail. With this, The Golden Compass suggests that while there may be an element of destiny at work in its world, there's still room for individual interpretation—and one's personal thoughts on destiny or free will are just as important, if not more important, than what one's destiny actually is.
The existence of the prophecy about Lyra is corroborated by a number of sources, from the Master at Jordan College to the witch Serafina Pekkala. They both state the basic facts of the prophecy—that Lyra must lead someone to their death and not know she's doing it—which suggests that within the world of the novel, the existence of destiny is something that's generally accepted by a variety of different groups. Both try, in their own ways, to help Lyra fulfill her destiny: the Master by giving Lyra the alethiometer, and Serafina by carrying Lyra and Roger away from Bolvanger and to Lord Asriel. The Master ensures that Lyra is going to head for Lord Asriel (who will kill Roger) by, possibly unwittingly, making it seem as though Lyra is supposed to take Lord Asriel the alethiometer. This makes it clear that it's certainly possible for someone to purposefully help destiny along. Given the way that the novel constructs the prophecy (in which Lyra could save the world but, if she knows what she's doing, will fail), this becomes extremely important—it's not as though the prophecy will come to fruition regardless of what a person does; there's still a significant element of choice involved that will guide which version of the prophecy will come to pass.
For Lyra, the alethiometer helps her comes to terms with the fact that destiny (and, to a degree, reading the future) exist in her world—and importantly, that it's her responsibility to read and listen. While she's initially confused when the alethiometer suggests that a gyptian man is in trouble, it makes sense not long after when Lyra and the gyptian elder Farder Coram receive word that the gyptian man in question died. Through this, Lyra learns that she must trust the alethiometer and if it tells her to do something, she has no choice but to listen to it. Because of this, Lyra insists on making a journey to a nearby town where a "ghost" is causing problems for the townsfolk. The alethiometer tells her that she must deal with the ghost and when the ghost turns out to be Tony Makarios, a child who suffered intercision, Lyra understands that she had to make the journey in order to gather valuable information about what exactly happens at Bolvanger and why she must stop it. This instance, however, also makes the case that it's often only in retrospect that destiny makes sense, suggesting that it's impossible to truly understand how destiny functions until much later.
Meanwhile, the balloonist Lee Scoresby and Serafina Pekkala also discuss the ethics involved in destiny. Scoresby is uninterested in destiny and wishes to participate in life and the war to come of his own volition and, moreover, suggests that it's unethical to make Lyra responsible for the fate of all humanity without her consent. Serafina, however, suggests that there's more to destiny and this particular prophecy than just Lyra: they all have the choice of which side with which to align themselves, and which version of the prophecy they'll work to see come true. With this, Serafina makes it clear that, even within the framework of destiny that the novel sets out, there's still plenty of room to exercise free will—it will just be in the service of destiny one way or another.
The Golden Compass doesn't fully tie up its exploration of destiny and free will, which continues through the next two books in the series. But it does leave Lyra and the reader with the sense that even within a universe where destiny plays a major role, it's still important to exercise one's free will and to recognize that free will isn't actually opposed to destiny at all. What's set up initially as a dichotomy is, in actuality, two halves of a worldview that only makes sense when one takes time, space, and knowledge of prophecy into account.
Destiny vs. Free Will ThemeTracker
Destiny vs. Free Will Quotes in The Golden Compass
"Yes. Lyra has a part to play in all this, and a major one. The irony is that she must do it all without realizing what she's doing. She can be helped, though, and if my plan with the Tokay had succeeded, she would have been safe for a little longer."
"And the Church in recent times, Lyra, it's been getting more commanding. There's councils for this and councils for that; there's talk of reviving the Office of Inquisition, God forbid. And the Master has to tread warily between all these powers. He has to keep Jordan College on the right side of the Church, or it won't survive."
"Because, Iorek, listen: I got this symbol reader that tells me things, you see, and it's told me that there's something important I got to do over in that village, and Lord Faa won't let me go there. He just wants to get on quick, and I know that's important too. But unless I go and find out what it is, we might not know what the Gobblers are really doing."