According to current estimates there exist about 20,000 pseudogenes in a mammalian genome. The vast majority of these are disabled and nonfunctional copies of protein-coding genes which, therefore, evolve neutrally. Recent findings that a Makorin1 pseudogene, residing on mouse Chromosome 5, is, indeed, in vivo vital and also evolutionarily preserved, encouraged us to conduct a genome-wide survey for other functional pseudogenes in human, mouse, and chimpanzee. We identify to our knowledge the first examples of conserved pseudogenes common to human and mouse, originating from one duplication predating the human-mouse species split and having evolved as pseudogenes since the species split. Functionality is one possible way to explain the apparently contradictory properties of such pseudogene pairs, i.e., high conservation and ancient origin. The hypothesis of functionality is tested by comparing expression evidence and synteny of the candidates with proper test sets. The tests suggest potential biological function. Our candidate set includes a small set of long-lived pseudogenes whose unknown potential function is retained since before the human-mouse species split, and also a larger group of primate-specific ones found from human-chimpanzee searches. Two processed sequences are notable, their conservation since the human-mouse split being as high as most protein-coding genes; one is derived from the protein Ataxin 7-like 3 (ATX7NL3), and one from the Spinocerebellar ataxia type 1 protein (ATX1). Our approach is comparative and can be applied to any pair of species. It is implemented by a semi-automated pipeline based on cross-species BLAST comparisons and maximum-likelihood phylogeny estimations. To separate pseudogenes from protein-coding genes, we use standard methods, utilizing in-frame disablements, as well as a probabilistic filter based on Ka/Ks ratios.