All capture methods impose animal welfare impacts, but these impacts are rarely quantified or reported. We present data from two wildlife capture studies that trialled new methods for capturing Bennett’s wallabies (Notamacropus rufogriseus) and red deer (Cervus elaphus) in New Zealand. We used helicopter net-gunning for both species, and compared this method with ground-based netting for wallabies and helicopter darting for red deer, using, for the first time in New Zealand, the fast-acting opioid thiafentanil. Efficacy and animal welfare parameters quantified were duration of handling and recovery, and frequency of adverse events, including escape, injury, and mortality. Cost-effectiveness was quantified for each method. Capture mortalities occurred for all methods for both species. For red deer, chemical immobilisation led to fewer traumatic injuries and fewer mortalities, while for wallabies, net-gunning led to fewer mortalities. Net-gunning was an efficient capture method for deer in open habitat, but led to the escape of 54% of wallabies and one wallaby mortality (4%). Ground-based netting resulted in the mortality of 17% of wallabies at the time of capture, and the capture of non-target species. The cost per captured wallaby was 40% more expensive for net-gunning (NZ$1045) than for ground-based netting (NZ$745), but, once corrected for mortalities at the time of capture and suitability of individuals for GPS-collar deployment, this was reduced to 29% and 12% more expensive, respectively. Net-gunning for red deer resulted in the escape of 13% of animals and mortality of 10% of animals at the time of capture. Helicopter-based darting for red deer using thiafentanil (c. 0.03–0.06 mg/kg) had high capture efficacy (zero escapes), rapid induction times (mean of 3 min), and a low mortality rate at 14 days post-capture (3%), but it was more expensive per deer captured and collared than aerial netting (NZ$2677 and NZ$2234, respectively). We recommend reporting of adverse event data for all wildlife capture techniques to permit continual refinement of field methods.