Elasmotherium sibiricum, a giant, one-horned rhinoceros of the Pleistocene, was the last-surviving member of the Elasmotheriinae, one of two major radiations within the rhinoceros family. Its extinction was believed to have occurred within the Middle Pleistocene, prior to the Late Quaternary megafaunal extinction event. Here we show, by AMS radiocarbon dating of 21 individuals, including cross-validation and single amino-acid dating, that the species survived in Eastern Europe and Central Asia until at least 33,000 years ago, and was very probably extinct by the Last Glacial Maximum. Stable isotope data indicates a highly specialised dry steppe niche conforming to the species’ morphology and distribution. These findings have significance for the pattern and cause of megafaunal extinctions in northern Eurasia. We further demonstrate, by the first ancient DNA sequence data obtained from a member of the Elasmotheriinae, a very deep phylogenetic split between that subfamily and the Rhinocerotiinae that includes all the living rhinos, supporting morphological evidence from fossils that the two lineages were in existence in the Eocene.