Understanding extinction events requires an unbiased record of the chronology and ecology of victims and survivors. The rhinoceros Elasmotherium sibiricum, known as the 'Siberian unicorn', was believed to have gone extinct around 200,000 years ago-well before the late Quaternary megafaunal extinction event. However, no absolute dating, genetic analysis or quantitative ecological assessment of this species has been undertaken. Here, we show, by accelerator mass spectrometry radiocarbon dating of 23 individuals, including cross-validation by compound-specific analysis, that E. sibiricum survived in Eastern Europe and Central Asia until at least 39,000 years ago, corroborating a wave of megafaunal turnover before the Last Glacial Maximum in Eurasia, in addition to the better-known late-glacial event. Stable isotope data indicate a dry steppe niche for E. sibiricum and, together with morphology, a highly specialized diet that probably contributed to its extinction. We further demonstrate, with DNA sequencing data, a very deep phylogenetic split between the subfamilies Elasmotheriinae and Rhinocerotinae that includes all the living rhinoceroses, settling a debate based on fossil evidence and confirming that the two lineages had diverged by the Eocene. As the last surviving member of the Elasmotheriinae, the demise of the 'Siberian unicorn' marked the extinction of this subfamily.