Africa is unique among the continents in having maintained an extraordinarily diverse and prolific megafauna spanning the Pleistocene–Holocene epochs. Little is known about the historical dynamics of this community and even less about the reasons for its unique persistence to modern times. We sequenced complete mitochondrial genomes from 43 Cape buffalo (Syncerus caffer caffer) to infer the demographic history of this large mammal. A combination of Bayesian skyline plots, simulations and Approximate Bayesian Computation (ABC) were used to distinguish population size dynamics from the confounding effect of population structure and identify the most probable demographic scenario. Our analyses revealed a late Pleistocene expansion phase concurrent with the human expansion between 80 000 and 10 000 years ago, refuting an adverse ecological effect of Palaeolithic humans on this quarry species, but also showed that the buffalo subsequently declined during the Holocene. The distinct two-phased dynamic inferred here suggests that a major ecological transition occurred in the Holocene. The timing of this transition coincides with the onset of drier conditions throughout tropical Africa following the Holocene Optimum (∼9000–5000 years ago), but also with the explosive growth in human population size associated with the transition from the Palaeolithic to the Neolithic cultural stage. We evaluate each of these possible causal factors and their potential impact on the African megafauna, providing the first systematic assessment of megafauna dynamics on the only continent where large mammals remain abundant.