1. Urbanization is considered the fastest growing form of global land-use change and can dramatically modify habitat structure and ecosystem functioning. While ecological processes continue to operate within cities, urban ecosystems are profoundly different from their more natural counterparts. Thus, ecological predictions derived from more natural ecosystems are rarely generalizable to urban environments. 2. In this study, we used data from a large-scale and long-term camera trap project in Chicago IL, USA, to determine whether urbanization alters predator-avoidance behaviour of urban prey species. 3. We studied three behavioural mechanisms often induced by the fear of predation (spatial distribution, daily activity patterns and vigilance) of white-tailed deer (Odocoileus virginianus) and eastern cottontail (Sylvilagus floridanus) when coyote (Canis latrans)—an urban apex predator—was present. 4. We found no evidence of spatial segregation between coyote and either prey species. Furthermore, neither white-tailed deer nor eastern cottontail changed their daily activity or increased vigilance in urban areas when coyotes were present. Eastern cottontail, however, had their uppermost level of vigilance in highly urban sites when coyotes were absent. 5. Our study demonstrates that predator–prey dynamics might be modified in urban ecosystems—moving from what is traditionally thought of as a two-player system (predator and prey) to a three-player system (predator, prey and people).