Natural killer cells and cytotoxic T lymphocytes are the main cell populations of the immune system able to directly kill target cells via cytotoxic granules. Different mammalian species may differ in specific features of their pore‐forming protein (perforin) and granule‐bound serine proteases (granzymes). One perforin gene (PRF1) and four genes encoding granzymes A, B, H, and K (GZMA, GZMB, GZMH, GZMK) were identified in the reference genomes of felids. The objective of this work was to characterize the genes PRF1, GZMA and GZMB in a panel of 17 felid species by next‐generation re‐sequencing. A search of available felid genomes (17 species) retrieved the coding sequences of these genes for comparison to our data. Both sets of sequences or their combinations (23 species) were used for phylogenetic and selection analyses. Nucleotide PRF1, GZMA and GZMB sequences showed high similarities between felid species (over 95% identity). All trees derived from coding sequences expressed phylogenetic relationships corresponding to the zoological taxonomy of the Felidae, except GZMA. No effects of positive selection were detected in the genes studied, however, effects of purifying selection were observed for PRF1 and GZMA. The conservation of PRF1 is in agreement with its critical biological function. The differentiation observed between granzyme sub‐families may reflect an adaptation to pathogen variation. The need to maintain important gene functions and at the same time cope with various pathogens may lead to an equilibrium between positive and negative selective pressures acting on GZMB. The within‐species variability in wild felid populations merits further investigation.