Encountering and adaptively responding to unfamiliar or novel stimuli is a fundamental challenge facing animals and is linked to fitness. Behavioural responses to novel stimuli can differ strongly between closely related species; however, the ecological and evolutionary factors underlying these differences are not well understood, in part because most comparative investigations have focused on only two species. In this study, we investigate behavioural responses to novel environments, or exploratory behaviours, sampling from a total of 20 species in a previously untested vertebrate system, Lake Malawi cichlid fishes, which comprises hundreds of phenotypically diverse species that have diverged in the past one million years. We show generally conserved behavioural response patterns to different types of environmental stimuli in Lake Malawi cichlids, spanning multiple assays and paralleling other teleost and rodent lineages. Next, we demonstrate that more specific dimensions of exploratory behaviour vary strongly among Lake Malawi cichlids, and that a large proportion of this variation is explained by species differences. We further show that species differences in open field behaviours are explained by microhabitat and by a major evolutionary split between the mbuna and benthic/utaka radiations in Lake Malawi. Lastly, we track some individuals across a subset of behavioural assays and show that patterns of behavioural covariation across contexts are characteristic of modular complex traits. Taken together, our results tie ecology and evolution to natural behavioural variation, and highlight Lake Malawi cichlids as a powerful system for understanding the biological basis of exploratory behaviours.