The aim of this paper is to provide a checklist of flying and non-flying mammal species which occur in the state of Mato Grosso do Sul, delimiting species by vegetation domains and vulnerability. Records were based on specimens in museums, literature, and only eventually on photos (by camera traps). There are 151 mammal species reported or collected in the state, comprising 10 orders and 29 families. The richest orders were Chiroptera (61 spp.), Rodentia (35), Carnivora (18), and Didelphimorphia (16). The richest families were Phyllostomidae (33 species), Cricetidae (23), Didelphidae (16), Molossidae (13), Vespertilionidae (9), Felidae (7), and Dasypodidae (6). Cerrado was the richest domain (117 spp.) followed by Pantanal (110). According to the Instituto Brasileiro do Meio Ambiente e dos Recursos Naturais Renováveis (IBAMA) and the International Union for Conservation of Nature (IUCN), 17 species are threatened; they are species of Felidae (n = 6), but also include Canidae (2), Didelphidae (2), Cervidae (1), Dasypodidae (1), Dasyproctidae (1), Mustelidae (1), Myrmecophagidae (1), Phyllostomidae (1), and Tapiridae (1).