Tibetan antelope (Pantholops hodgsoni) are an endemic and endangered species of the Tibetan Plateau. Ex situ conservation may represent an important way to protect Tibetan antelope; however, this process may influence aspects of their behavior. To investigate the ability of these antelopes to adapt to new environments, a study on the vigilance behavior of captive antelope in different seasons was conducted. Using instantaneous scan sampling, focal animal sampling, and all-occurrence recording methods, the vigilance rate and vigilance time of captive male and female Tibetan antelope during cold and warm seasons were recorded and analyzed. Very significant sex differences in vigilance behavior were observed during the warm season, but were not observed in the cold season. Interestingly, vigilance behavior showed seasonal variation as there were significant differences in vigilance time and vigilance rate between cold and warm seasons in both males and females. Specifically, males and females showed more vigilance during the cold than warm season. No interaction between season and sex was found in the vigilance behavior of antelope. Comparing vigilance behavioral characteristic with the Kekexili Tibetan antelope indicated that captive antelope could adapt to a new environment.