Humans have the capacity to persist in behavioural policies, even in challenging environments that lack immediate reward. Persistence is the scaffold on which many higher executive functions are built. However, it remains unclear whether humans are uniquely persistent or, instead, if this capacity is widely conserved across species. To address this question, we compared humans with mice and monkeys in harmonised versions of a dynamic decision-making task. The task encouraged all species to strike a balance between persistently exploiting one policy and exploring alternative policies that could become better at any moment. Although all three species had similar strategies, we found that both primate species -- humans and monkeys -- were able to persist in exploitation for longer than the mice. The similarities in persistence patterns in humans and monkeys, as opposed to mice, may be related to the various ecological, neurobiological, or cognitive factors that differ systematically between these species.