Species co-occur with different sets of other species across their geographical distribution, which can be either closely or distantly related. Such co-occurrence patterns and their phylogenetic structure within individual species ranges represent what we call the species phylogenetic fields (PFs). These PFs allow investigation of the role of historical processes—speciation, extinction and dispersal—in shaping species co-occurrence patterns, in both extinct and extant species. Here, we investigate PFs of large mammalian species during the last 3 Myr, and how these correlate with trends in diversification rates. Using the fossil record, we evaluate species' distributional and co-occurrence patterns along with their phylogenetic structure. We apply a novel Bayesian framework on fossil occurrences to estimate diversification rates through time. Our findings highlight the effect of evolutionary processes and past climatic changes on species' distributions and co-occurrences. From the Late Pliocene to the Recent, mammal species seem to have responded in an individualistic manner to climate changes and diversification dynamics, co-occurring with different sets of species from different lineages across their geographical ranges. These findings stress the difficulty of forecasting potential effects of future climate changes on biodiversity.