The effect of spatial dispersion on the electromagnetic properties of a metamaterial consisting of a three-dimensional mesh of crossing metallic wires is reported. The effective dielectric permittivity tensor epsilon(ij)(omega, k) of the wire mesh is calculated in the limit of small wavenumbers. The procedure for extracting the spatial dispersion from the omega versus k dependence for electromagnetic waves propagating in the bulk of the metamaterial is developed. These propagating modes are identified as similar to the longitudinal (plasmon) and transverse (photon) waves in a plasma. Spatial dispersion is found to have the most dramatic effect on the surface waves that exist at the wire mesh-vacuum interface.