Studies on mammal diversity and distribution are an important source to develop conservation and management strategies. The area located in southern Mongolia, encompassing the Alashan Plateau Semi-Desert and the Eastern Gobi Desert-Steppe ecoregions, is considered strategic for the conservation of threatened species. We surveyed the non-volant mammals in the Small Gobi-A Strictly Protected Area (SPA) and its surroundings, by using camera trapping, live trapping, and occasional sightings. We recorded 18 mammal species belonging to 9 families and 6 orders. Among them, 4 are globally threatened or near-threatened, 2 are included in the CITES Appendix I, and 2 are listed in the Appendix II. Moreover, we provide the southeasternmost record for the Snow Leopard (Panthera uncia) in Mongolia, supported by photographic evidence. Our study highlights the importance of this protected area to preserve rare, threatened, and elusive species.