Associations among organisms are thought to form because the benefits, such as increased foraging efficiency or decreased risk of predation, outweigh any costs, such as resource competition. Though many interspecific associations have been described for closely related mammals, few studies have examined the associations between mammals in different orders. The yellow mongoose (Cynictus pencillata), a carnivore, and the Cape ground squirrel (Xerus inauris), a rodent, co-occur in arid and semi-arid South Africa where they share sleeping burrows, predators, a similar body size, and the capability to emit alarm calls in response to predators. To investigate enhanced predator avoidance as a potential benefit explaining the persistence of this association, we assessed individual mongoose vigilance alone and with squirrels or other mongooses, and with varying interspecific group size, using field observations. We also tested for responses to conspecific and heterospecific alarm calls in both study species using playback experiments. The proportion of time mongoose individuals spent vigilant decreased in the presence of squirrels or other mongooses and was negatively correlated with interspecific group size; a similar pattern was previously shown for conspecific groups of Cape ground squirrels. These results are predicted by both the dilution and collective detection hypotheses. In addition, hetero- and conspecific alarm calls elicited vigilance responses in both species. These results suggest that both species can benefit from the collective detection and dilution arising from their interspecific association and that this interspecific association could be mutualistic.