Predation influences prey survival and drives evolution of anti-predator behaviour. Anti-predator strategies by prey are stimulated by direct encounters with predators, but also by exposure to indicators of risk such as moonlight illumination and vegetation cover. Many prey species will suffer increased risk on moonlit nights, but risk may be reduced by the presence of dense vegetation. Determining the role of vegetation in reducing perceived risk is important, especially given predictions of increased global wildfire, which consumes vegetation and increases predation. We used remote cameras in southeastern Australia to compare support for the predation risk and habitat-mediated predation risk hypotheses. We examined the influence of moonlight and understorey cover on seven 20–2500 g mammalian prey species and two introduced predators, red foxes and feral cats. Activity of all prey species reduced by 40–70% with increasing moonlight, while one species (bush rat) reduced activity in response to increasing moonlight more sharply in low compared to high understorey cover. Neither predator responded to moonlight. Our findings supported the predation risk hypothesis and provided limited support for the habitat-mediated predation risk hypothesis. For prey, perceived costs of increased predation risk on moonlit nights outweighed any benefits of a brighter foraging environment.