Neophobia (the fearful reaction to novel stimuli or situations) has a crucial effect on individual fitness and can vary within and across species. However, the factors predicting this variation are still unclear. In this study, we assessed whether individual characteristics (rank, social integration, sex) and species socio-ecological characteristics (dietary breadth, group size, domestication) predicted variation in neophobia. For this purpose, we conducted behavioral observations and experimental tests on 78 captive individuals belonging to 10 different ungulate species—an ideal taxon to study inter-specific variation in neophobia given their variety in socio-ecological characteristics. Individuals were tested in their social groups by providing them with familiar food, half of which had been positioned close to a novel object. We monitored the individual latency to approach and eat food and the proportion of time spent in its proximity. Using a phylogenetic approach and social network analyses, we showed that across ungulate species neophobia was higher in socially more integrated individuals, as compared to less integrated ones. In contrast, rank and sex did not predict inter-individual differences in neophobia. Moreover, species differed in their levels of neophobia, with Barbary sheep being on average less neophobic than all the other study species. As group size in Barbary sheep was larger than in all the other study species, these results support the hypothesis that larger group size predicts lower levels of neophobia, and confirm ungulates as a highly promising taxon to study animal behavior and cognition with a comparative perspective.Significance statementIn several species, individuals may respond fearfully to novel stimuli, therefore reducing the risks they may face. However, it is yet unclear if certain individuals or species respond more fearfully to novelty. Here, we provided food to 78 individual ungulates with different characteristics (e.g., sex, rank, social integration, group size, domestication, dietary breadth) in different controlled conditions (e.g., when food was close to novel or to familiar objects). Across species, we found that socially integrated individuals responded more fearfully in all species. Moreover, being in larger groups decreased the probability of fearfully responding to novelty.