In their natural environment, animals face a variety of ecological and social challenges, which might be linked to the emergence of different cognitive skills. To assess inter-specific variation in cognitive skills, we used ungulates as a study model, testing a total of 26 captive individuals across 5 different species (i.e., dwarf goats, Capra aegagrus hircus, llamas, Lama glama, guanacos, Lama guanicoe, zebras, Equus grevyi, and rhinos, Diceros bicornis michaeli). Across species, we used the same well-established experimental procedures to test individuals’ performance in naïve physics tasks, i.e. object permanence, short-term spatial memory, causality, understanding of object properties, and gravity. Our results revealed that study subjects showed object permanence, were able to remember the position of hidden food after up to 60 s, and inferred the position of hidden food from the sound produced or not produced when shaking containers. Moreover, they showed an understanding of basic object properties, being able to locate objects hidden behind occluders based on their size and inclination, and could reliably follow the trajectory of falling objects across different conditions. Finally, inter-specific differences were limited to the understanding of object properties, and suggest that domesticated species as goats might perform better than non-domesticated ones in tasks requiring these skills. These results provide new information on the cognitive skills of a still understudied taxon and confirm ungulates as a promising taxon for the comparative study of cognitive evolution.