The Pleistocene was an epoch of extreme climatic and environmental changes. How individual species responded to the repeated cycles of warm and cold stages is a major topic of debate. For the European fauna and flora, an expansion-contraction model has been suggested, whereby temperate species were restricted to southern refugia during glacial times and expanded northwards during interglacials, including the present interglacial (Holocene). Here, we test this model on the red deer (Cervus elaphus) a large and highly mobile herbivore, using both modern and ancient mitochondrial DNA from the entire European range of the species over the last c. 40,000 years. Our results indicate that this species was sensitive to the effects of climate change. Prior to the Last Glacial Maximum (LGM) haplogroups restricted today to South-East Europe and Western Asia reached as far west as the UK. During the LGM, red deer was mainly restricted to southern refugia, in Iberia, the Balkans and possibly in Italy and South-Western Asia. At the end of the LGM, red deer expanded from the Iberian refugium, to Central and Northern Europe, including the UK, Belgium, Scandinavia, Germany, Poland and Belarus. Ancient DNA data cannot rule out refugial survival of red deer in North-West Europe through the LGM. Had such deer survived, though, they were replaced by deer migrating from Iberia at the end of the glacial. The Balkans served as a separate LGM refugium and were probably connected to Western Asia with genetic exchange between the two areas.