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We undertook a comprehensive, critical review of literature concerning the distribution, conservation status, and taxonomy of species of mammals endemic to the Cerrado and the Caatinga, the two largest biomes of the South American Dry-Diagonal. We present species accounts and lists of species, which we built with criteria that, in our opinion, yielded results with increased scientific rigor relative to previously published lists - e.g., excluding nominal taxa whose statuses as species have been claimed only on the basis of unpublished data, incomplete taxonomic work, or weak evidence. For various taxa, we provided arguments regarding species distributions, conservation and taxonomic statuses previously lacking in the literature. Two major findings are worth highlighting. First, we unveil the existence of a group of species endemic to both the Cerrado and the Caatinga (i.e., present in both biomes and absent in all other biomes). From the biogeographic point of view, this group, herein referred to as Caatinga-Cerrado endemics, deserves attention as a unit - just as in case of the Caatinga-only and the Cerrado-only endemics. We present preliminary hypotheses on the origin of these three endemic faunas (Cerrado-only, Caatinga-only, and Caatinga-Cerrado endemics). Secondly, we discovered that a substantial portion of the endemic mammalian faunas of the Caatinga and the Cerrado faces risks of extinction that are unrecognized in the highly influential Red List of Threatened Species published by the International Union for Conservation of Nature (IUCN). "Data deficient" is a category that misrepresents the real risks of extinction of these species considering that (a) some of these species are known only from a handful of specimens collected in a single or a few localities long ago; (b) the Cerrado and the Caatinga have been sufficiently sampled to guarantee collection of additional specimens of these species if they were abundant; (c) natural habitats of the Cerrado and the Caatinga have been substantially altered or lost in recent decades. Failures either in the design of the IUCN criteria or in their application to assign categories of extinction risks represent an additional important threat to these endemic faunas because their real risks of extinctions become hidden. It is imperative to correct this situation, particularly considering that these species are associated to habitats that are experiencing fast transformation into areas for agriculture, at an unbearable cost for biodiversity.