Recognition of heterospecific (interspecific) alarm calls has been demonstrated in birds and mammals, but bird–mammal interactions have rarely been studied. Here, I tested the hypothesis that red squirrels (Sciurus vulgaris) are able to recognize alarm calls of a sympatric bird species, the Eurasian jay (Garrulus glandarius), and respond adequately with anti-predator behaviour. Both animals are preyed upon by the same predators. To test whether squirrels would react to heterospecific alarm calls, I recorded squirrels behaviour during playbacks of jay alarm calls, control playbacks (territorial songs of sympatric songbirds) and during silence. Differences between the control treatment (songbirds) and silence were not significant. Seven of the 13 squirrels responded with escape after broadcasting alarm calls of jays. Further, squirrels spent less time in the patch, expressed a higher vigilance, and showed more rapid head and body movements. These results suggest that squirrels recognize heterospecific alarm vocalizations of jays and discriminate them from equally loud non-threatening sounds.