Ice Age megafauna have long been known to be associated with global cooling during the Pleistocene, and their adaptations to cold environments, such as large body size, long hair, and snow-sweeping structures, are best exemplified by the woolly mammoths and woolly rhinos. These traits were assumed to have evolved as a response to the ice sheet expansion. We report a new Pliocene mammal assemblage from a high-altitude basin in the western Himalayas, including a primitive woolly rhino. These new Tibetan fossils suggest that some megaherbivores first evolved in Tibet before the beginning of the Ice Age. The cold winters in high Tibet served as a habituation ground for the megaherbivores, which became preadapted for the Ice Age, successfully expanding to the Eurasian mammoth steppe.