Assessing protected area (PA) effectiveness is key to ensure the objectives of habitat protection are being achieved. There is strong evidence that legal protection reduces loss of natural vegetation, but biodiversity loss can still happen without significant changes in vegetation cover. Here we use data from a specifically designed camera trap survey to conduct a counterfactual assessment of PA effectiveness at safeguarding local biodiversity in the Brazilian Cerrado. We surveyed the mammal community in 517 locations at the Sertão Veredas-Peruaçu mosaic, distributed across five strict PAs (264 survey sites in five arrays) and two multiple-use PAs with low management levels (253 survey sites in four arrays). We adopted a multi-species occupancy framework to analyse our dataset while also controlling for confounding factors not directly related to protection. Of the 21 species assessed, nine had higher occupancy in strict PAs, one had higher occupancy in multiple-use PAs, and ten did not respond to protection level. Site species richness was nearly twice as large in areas under stricter protection, with even greater differences for species richness of globally threatened and larger mammals (>15 kg). Overall we demonstrated that the strict PAs surveyed support higher mammal diversity than similar areas under less restrictive management, with a particular strong effect on larger and threatened species. Given that strict PAs cover only 3% of the Cerrado, our results suggest that expanding the area under strict protection is likely to benefit iconic species of the Brazilian savanna, such as the maned wolf and giant anteater.