Humans have the capacity to persist in behavioural policies, even in challenging environments that lack immediate reward. Our persistence could be 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. This question is all the more important because we regularly use animals, like mice or monkeys, as models for humans experiencing neurobiological conditions in which persistence is compromised. Here, we compared humans with mice and monkeys in harmonised versions of an uncertain decision-making task. The task, which was adapted to match standard laboratory practices in each species, encouraged the 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 adopted similar strategies and performed well above chance, the primate species---humans and monkeys---were able to persist in exploitation for much longer than the mice. A variety of control experiments in humans ruled out low-level explanations for these differences. These results highlight the similarities within primate species. We speculate that the differences in patterns of persistence between primates and mice may be linked to certain ecological, neurobiological, and/or cognitive factors that differ systematically between these species.