Species distribution modelling can be a powerful tool in species conservation. Przewalski's gazelle Procapra przewalskii is an endangered ungulate and a conservation focus on the Qinghai–Tibetan Plateau. To identify the potential range and provide a conservation base for the species, we used the maximum entropy approach to build a habitat suitability map and took into account: (1) the comparison among three competing models (the full, uncorrelated and pruned models) with different sets of environmental predictors; and (2) scale effects on model spatial output and performance. Elevation, maximum temperature of the warmest month, mean temperature of the wettest and warmest quarter and isothermality were the five most effective predictors. The 11 threshold-determining approaches identified different thresholds. Spatial patterns of ranges predicted with the three models were similar, although the uncorrelated model was outperformed by the other two models. All three models identified regions in the eastern part of the Qinghai–Tibetan Plateau as the most suitable habitat for Przewalski's gazelle. Cross-validation area under the receiver operating characteristic curve (AUC) of the full model decreased slightly as the scale increased; spatial congruence AUC fluctuated with the small range, and the predicted range increased disproportionately. This study identifies areas to find new populations and representative habitats of a rare and endangered species.