Most studies of mammal extinctions during the Pleistocene–Holocene transition explore the relative effects of climate change vs human impacts on these extinctions, but the relative importance of the different environmental factors involved remains poorly understood. Moreover, these studies are strongly biased towards megafauna, which may have been more influenced by human hunting than species of small body size. We examined the potential environmental causes of Pleistocene–Holocene mammal extinctions by linking regional environmental characteristics with the regional extinction rates of large and small mammals in 14 Palaearctic regions. We found that regional extinction rates were larger for megafauna, but extinction patterns across regions were similar for both size groups, emphasizing the importance of environmental change as an extinction factor as opposed to hunting. Still, the bias towards megafauna extinctions was larger in southern Europe and smaller in central Eurasia. The loss of suitable habitats, low macroclimatic heterogeneity within regions and an increase in precipitation were identified as the strongest predictors of regional extinction rates. Suitable habitats for many species of the Last Glacial fauna were grassland and desert, but not tundra or forest. The low-extinction regions identified in central Eurasia are characterized by the continuous presence of grasslands and deserts until the present. In contrast, forest expansion associated with an increase in precipitation and temperature was likely the main factor causing habitat loss in the high-extinction regions. The shift of grassland into tundra also contributed to the loss of suitable habitats in northern Eurasia. Habitat loss was more strongly related to the extinctions of megafauna than of small mammals. Ungulate species with low tolerance to deep snow were more likely to go regionally extinct. Thus, the increase in precipitation at the Pleistocene–Holocene transition may have also directly contributed to the extinctions by creating deep snow cover which decreases forage availability in winter.