Phenotypic plasticity and microevolution are the two primary means by which organisms respond adaptively to local conditions. While these mechanisms are not mutually exclusive, their relative magnitudes will influence both the rate of, and ability to sustain, phenotypic responses to climate change. We review accounts of recent phenotypic changes in wild mammal populations with the purpose of critically evaluating the following: (i) whether climate change has been identified as the causal mechanism producing the observed change; (ii) whether the change is adaptive; and (iii) the relative influences of evolution and/or phenotypic plasticity underlying the change. The available data for mammals are scant. We found twelve studies that report changes in phenology, body weight or litter size. In all cases, the observed response was primarily due to plasticity. Only one study (of advancing parturition dates in American red squirrels) provided convincing evidence of contemporary evolution. Subsequently, however, climate change has been shown to not be the causal mechanism underlying this shift. We also summarize studies that have shown evolutionary potential (i.e. the trait is heritable and/or under selection) in traits with putative associations with climate change and discuss future directions that need to be undertaken before a conclusive demonstration of plastic or evolutionary responses to climate change in wild mammals can be made.