Severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2), considered a zoonotic agent of wildlife origin, can infect various animal species, including wildlife in free-range and captive environments. Detecting susceptible species and potential reservoirs is crucial for preventing the transmission, spread, genetic evolution, and further emergence of viral variants that are major threats to global health. This study aimed to detect exposure or acute infection by SARS-CoV-2 in 420 animals from 40 different wildlife species, including terrestrial and aquatic mammals, from different regions of Spain during the 2020–2023 coronavirus disease 19 (COVID-19) pandemic. In total, 8/137 animals were positive for SARS-CoV-2 antibodies against the receptor binding domain and/or viral nucleoprotein according to independent ELISAs. However, only one ELISA-positive sample of a captive bottlenose dolphin (Tursiops truncatus) tested positive for SARS-CoV-2 neutralizing antibodies with a low titre (SNT50 38.15) according to a virus neutralization test. Cetaceans are expected to have a high risk of infection with SARS-CoV-2 according to early predictive studies due to the similarity of their angiotensin converting enzyme 2 cell receptor to that of humans. Moreover, of 283 animals analysed for SARS-CoV-2 RNA using RT-qPCR, none tested positive. Our results reinforce the importance of considering cetaceans at risk for SARS-CoV-2 infection and support taking preventive biosecurity measures when interacting with them, especially in the presence of individuals with suspected or confirmed COVID-19. Although most animals in this study tested negative for acute infection or viral exposure, ongoing surveillance of wildlife species and potentially susceptible animals is important to prevent future spillover events and detect potential novel reservoirs.