Many mammal species depend on tree cavities for shelter and for breeding. Some species may use tree cavities as well as other varied shelters, but the extent of their dependence on tree cavities is unknown. One such species is the eastern pygmy‐possum (Cercartetus nanus) from eastern Australia which typically shelters alone. Four key questions were addressed: (1) do different age and sex classes differ in their preferences for small (4 cm diameter) and large (10 cm diameter) cavities, (2) does the availability of large cavities influence female breeding status, (3) does the availability of large cavities influence where adult females and males are detected, and (4) does the availability of large cavities influence survival and abundance? Two 9‐ha plots containing few (≤2 per ha) ‘large’ natural cavities were provisioned with artificial cavities in different years. When plots were provisioned with small and large cavities, breeding females (n = 46) showed a pronounced preference for sheltering in the large cavities while adult males (n = 67) and subadults (n = 40) preferred the small cavities. When one plot and not the other was provisioned with large cavities, adult females were significantly more likely to be reproductive and be detected on the plot with large cavities, but survival was not influenced. Detection of adult males did not vary with large cavity provisioning. The abundance of adult pygmy‐possums varied among years, being higher on the plot provisioned with large cavities when the other plot was not provisioned, but equivalent when both were provisioned. The findings of this study are consistent with the hypothesis that breeding females are dependent on a large cavity to raise a litter. Other mammal species around the world are likely to exhibit similar but currently unrecognized shelter site strategies which have implications for their management.