Although one-third of all primates are nocturnal, their anti-predator behaviour has rarely been studied. Because of their small body size, in combination with their solitary and nocturnal life style, it has been suggested that they mainly rely on crypsis to evade predators. However, recent studies revealed that nocturnal primates are not generally cryptic and that they exhibit predator-specific escape strategies as well as alarm calls. In order to add to this new body of research, we studied anti-predator strategies of nocturnal grey mouse lemurs experimentally. In order to elicit anti-predator behaviour and alarm calls, we conducted experiments with a carnivore-, snake- and raptor model. We also conducted playback experiments with mouse lemur alarm calls to characterize their function. In response to predator models, they exhibited a combination of anti-predator strategies: in response to carnivore and snake models, mouse lemurs monitored the predator, probably to assess the potential risk that emanates from the predator. In response to raptor models they behaved cryptically and exhibited freezing behaviour. All mouse lemurs, except one individual, did not alarm call in response to predator models. In addition, during playback experiments with alarm calls, recorded during real predator encounters, mouse lemurs did not emit alarm calls nor did they show any escape behaviour. Thus, as in other nocturnal primates/mammals, mouse lemurs do not seem to rely on routinely warning of conspecifics against nearby predators.