The Mesozoic era (252-66 million years ago), known as the domain of dinosaurs, witnessed a remarkable ecomorphological diversity of early mammals. The key mammalian characteristics originated during this period and were prerequisite for their evolutionary success after extinction of the non-avian dinosaurs 66 million years ago. Many ecomorphotypes familiar to modern mammal fauna evolved independently early in mammalian evolutionary history. Here we report a 125-million-year-old eutriconodontan mammal from Spain with extraordinary preservation of skin and pelage that extends the record of key mammalian integumentary features into the Mesozoic era. The new mammalian specimen exhibits such typical mammalian features as pelage, mane, pinna, and a variety of skin structures: keratinous dermal scutes, protospines composed of hair-like tubules, and compound follicles with primary and secondary hairs. The skin structures of this new Mesozoic mammal encompass the same combination of integumentary features as those evolved independently in other crown Mammalia, with similarly broad structural variations as in extant mammals. Soft tissues in the thorax and abdomen (alveolar lungs and liver) suggest the presence of a muscular diaphragm. The eutriconodont has molariform tooth replacement, ossified Meckel's cartilage of the middle ear, and specialized xenarthrous articulations of posterior dorsal vertebrae, convergent with extant xenarthran mammals, which strengthened the vertebral column for locomotion.