Primates have relatively larger brains than other mammals even though brain tissue is energetically costly. Comparative studies of variation in cognitive skills allow testing of evolutionary hypotheses addressing socioecological factors driving the evolution of primate brain size. However, data on cognitive abilities for meaningful interspecific comparisons are only available for haplorhine primates (great apes, Old- and New World monkeys) although strepsirrhine primates (lemurs and lorises) serve as the best living models of ancestral primate cognitive skills, linking primates to other mammals. To begin filling this gap, we tested members of three lemur species (Microcebus murinus, Varecia variegata, Lemur catta) with the Primate Cognition Test Battery, a comprehensive set of experiments addressing physical and social cognitive skills that has previously been used in studies of haplorhines. We found no significant differences in cognitive performance among lemur species and, surprisingly, their average performance was not different from that of haplorhines in many aspects. Specifically, lemurs’ overall performance was inferior in the physical domain but matched that of haplorhines in the social domain. These results question a clear-cut link between brain size and cognitive skills, suggesting a more domain-specific distribution of cognitive abilities in primates, and indicate more continuity in cognitive abilities across primate lineages than previously thought.