AbstractAimThe aim was to test whether large‐scale patterns of variation in the bodily proportions of small mammals relate to latitude and climate.LocationThe New World.Time periodCurrent.Major taxa studiedMarsupials, lipotyphlans and rodents.MethodsDistributional, morphological and phylogenetic data were compiled for 149 faunal samples including 360 species of New World small mammals. Phylogenetic autocorrelation was addressed using phylogenetic generalized least squares regression.ResultsThe faunal data show that tails are systematically larger in the tropics relative to head and body lengths. Furthermore, the data for individual species demonstrate a negative relationship between tail length and the distance of the midpoint of a geographical range from the equator. Hind foot and ear length also decline at high latitudes, but the relationships are much weaker. Allen's rule states that all extremities, including ears, feet and tails, should be larger at low latitudes because heat loss is not a limiting factor. However, no correlation between any measurement and mean annual temperature is found in two major groups (cricetid rodents and didelphid marsupials) or in all mammals combined.Main conclusionsAllen's rule does not apply at the macroevolutionary scale, and a new one does. Given that long tails stabilize movement between tree branches and are better suited for being prehensile, this rule might relate to increasing arboreality in the tropics.