Activity pattern has played a prominent role in discussions of primate evolutionary history. Most primates are either diurnal or nocturnal, but a small number are active both diurnally and nocturnally. This pattern—cathemerality—also occurs at low frequency across mammals. Using a large sample of mammalian species, this study evaluates two macroevolutionary hypotheses proposed to explain why cathemerality is less common than diurnality and nocturnality: 1) that cathemeral lineages have higher extinction probabilities (differential diversification) and 2) that transitions out of cathemerality are more frequent, making it a less persistent state (differential state persistence). Rates of speciation, extinction, and transition between character states were estimated using hidden-rates models applied to a phylogenetic tree containing 3013 mammals classified by activity pattern. The models failed to detect consistent differences in diversification dynamics among activity patterns, but there is strong support for differential state persistence. Transition rates out of cathemerality tend to be much higher than transition rates out of nocturnality. Transition rates out of diurnality are similar to those for cathemerality in most clades, with two important exceptions: diurnality is unusually persistent in anthropoid primates and sciurid rodents. These two groups combine very low rates of transition out of diurnality with high speciation rates. This combination has no parallels among cathemeral lineages, explaining why diurnality has become more common than cathemerality in mammals. Similarly, the combination of rates found in anthropoids is sufficient to explain the low relative frequency of cathemerality in primates, making it unnecessary to appeal to high extinction probabilities in cathemeral lineages in this clade. These findings support the hypothesis that the distribution of activity patterns across mammals has been influenced primarily by differential state persistence, whereas the effect of differential diversification appears to have been more idiosyncratic.