Sierra de Coneto (SC) is a small mountain range located at the transition between the Sierra Madre Occidental (SMO) and the Mexican Plateau (MP) in which unique combinations of potential habitats for rodents occur, and where the distribution of species of the 2 regions overlap. We examined how species of small rodents at the Sierra de Coneto select macrohabitat (vegetation type) and microhabitat (measured as vegetation structure, composition, and ground cover). If rodents select at the macrohabitat level, we expect associations with vegetation type, whereas if rodents select at the microhabitat level, we expect associations with specific attributes of vegetation or substrate regardless of the vegetation type where such attributes occur. We sampled for 3 nights using two 100-Sherman trap transects along a vegetation gradient. We assessed responses of rodents to microhabitat using canonical correspondence analysis and multiple linear regression. At the macrohabitat level, we found associations of Peromyscus difficilis and Sigmodon ochrognathus with chaparral, and of P. boylii and P. pectoralis with desert scrub. At the microhabitat level, these species were associated mostly with attributes of their vegetation types. P. hooperi and Neotoma leucodon were associated only with specific microhabitat attributes. Our results indicate that the scale of habitat selection is species-dependent, and that attributes selected can be important at different scales for different reasons (e.g., oaks as cover, or oak seeds as food). Understanding how and at which scale species relate to their environment is key to predicting the effects of natural and anthropogenic modifications on natural populations.