Understanding the temporal and spatial dynamics of species populations remains a key focus of population biology, providing vital insight into the drivers that influence demography and into sub‐populations that are vulnerable to extinction. Across regional landscapes, spatially separated sub‐populations may fluctuate in synchrony, or exhibit sub‐structuring due to subtle differences in local intrinsic and extrinsic factors. Using a long‐term data set (17–22 yr) obtained from a large (8000 km2) study region in arid central Australia, we tested firstly for regional synchrony in annual rainfall and the dynamics of five small mammal species across nine widely separated sites. Using Moran's theorem, we predicted that the spatial correlation between the regional sub‐populations of these species would equal that between local density‐independent conditions (annual rainfall). For species that showed synchronous spatial dynamics, we then used multivariate state‐space (MARSS) models to predict that regional rainfall would be positively associated with their populations, whereas species with asynchronous sub‐populations would be influenced largely by other factors. For these latter species, we used MARSS models to test four hypotheses. These were that sub‐population structures: (1) were asynchronous and governed by local site‐specific factors, (2) differed between oasis and non‐oasis sites, (3) differed between burnt and unburnt sites, and (4) differed between three sub‐regions with different rainfall gradients. We found that the spatial population dynamics of our study small mammals differed between and within families. Two species of insectivorous dasyurid marsupials showed asynchronous dynamics, which most likely tracked local conditions, whereas a larger carnivorous marsupial and two species of rodents had strongly synchronous dynamics. These latter species exhibited similar spatial correlations to local and regional rainfall events, providing evidence that the Moran effect operates for some, but not all, species in this arid system. Our results suggest that small mammal populations do not respond in similar ways to shared environmental drivers in arid regions, and hence will vary in their responses to climate change. As arid lands globally are predicted to face climatic shifts that will exacerbate rainfall‐drought cycles, we suggest that future work focuses on exploring these responses at different spatial scales across multiple dryland taxa.