Predation risk influences foraging decisions and time allocation of prey species, and may result in habitat shifts from potentially dangerous to safer areas. We examined a wild population of western grey kangaroos (Macropus fuliginosus) to test the efficacy of predator faecal odour in influencing time allocated to different behaviours and inducing changes in habitat use. Kangaroos were exposed to fresh faeces of a historical predator, the dingo (Canis lupus dingo), a recently introduced predator, the red fox (Vulpes vulpes), a herbivore (horse, Equus caballus) and an unscented control simultaneously. Kangaroos did not increase vigilance in predator-scented areas. However, they investigated odour sources by approaching and sniffing; more time was spent investigating fox odour than control odours. Kangaroos then exhibited a clear anti-predator response to predator odours, modifying their space use by rapidly escaping, then avoiding fox and dingo odour sources. Our results demonstrate that wild western grey kangaroos show behavioural responses to predator faeces, investigating then avoiding these olfactory cues of potential predation risk, rather than increasing general vigilance. This study contributes to our understanding of the impact of introduced mammalian predators on marsupial prey and demonstrates that a native Australian marsupial can recognize and respond to the odour of potential predators, including one that has been recently introduced.