Key points In order to understand how the brain's coding strategies are adapted to the statistics of the sensory stimuli experienced during everyday life, the use of animal models is essential. Mice and non‐human primates have become common models for furthering our knowledge of the neuronal coding of natural stimuli, but differences in their natural environments and behavioural repertoire may impact optimal coding strategies. Here we investigated the structure and statistics of the vestibular input experienced by mice versus non‐human primates during natural behaviours, and found important differences. Our data establish that the structure and statistics of natural signals in non‐human primates more closely resemble those observed previously in humans, suggesting similar coding strategies for incoming vestibular input. These results help us understand how the effects of active sensing and biomechanics will differentially shape the statistics of vestibular stimuli across species, and have important implications for sensory coding in other systems. Abstract It is widely believed that sensory systems are adapted to the statistical structure of natural stimuli, thereby optimizing coding. Recent evidence suggests that this is also the case for the vestibular system, which senses self‐motion and in turn contributes to essential brain functions ranging from the most automatic reflexes to spatial perception and motor coordination. However, little is known about the statistics of self‐motion stimuli actually experienced by freely moving animals in their natural environments. Accordingly, here we examined the natural self‐motion signals experienced by mice and monkeys: two species commonly used to study vestibular neural coding. First, we found that probability distributions for all six dimensions of motion (three rotations, three translations) in both species deviated from normality due to long tails. Interestingly, the power spectra of natural rotational stimuli displayed similar structure for both species and were not well fitted by power laws. This result contrasts with reports that the natural spectra of other sensory modalities (i.e. vision, auditory and tactile) instead show a power‐law relationship with frequency, which indicates scale invariance. Analysis of natural translational stimuli revealed important species differences as power spectra deviated from scale invariance for monkeys but not for mice. By comparing our results to previously published data for humans, we found the statistical structure of natural self‐motion stimuli in monkeys and humans more closely resemble one another. Our results thus predict that, overall, neural coding strategies used by vestibular pathways to encode natural self‐motion stimuli are fundamentally different in rodents and primates.