Structures built by animals, such as nests, often can be considered extended phenotypes that facilitate the study of animal behaviour. For rodents, nest building is both an important form of behavioural thermoregulation and a critical component of parental care. Changes in nest structure or the prioritization of nesting behaviour are therefore likely to have consequences for survival and reproduction, and both biotic and abiotic environmental factors are likely to influence the adaptive value of such differences. Here we first develop a novel assay to investigate interspecific variation in the nesting behaviour of deer mice (genus Peromyscus). Using this assay, we find that, while there is some variation in the complexity of the nests built by Peromyscus mice, differences in the latency to begin nest construction are more striking. Four of the seven taxa examined here build nests within an hour of being given nesting material, but this latency to nest is not related to ultimate differences in nest structure, suggesting that the ability to nest is relatively conserved within the genus, but species differ in their prioritization of nesting behaviour. We also find that latency to nest is not correlated with body size, climate or the construction of burrows that create microclimates. However, the four taxa with short nesting latencies all have monogamous mating systems, suggesting that differences in nesting latency may be related to social environment. This detailed characterization of nesting behaviour within the genus provides an important foundation for future studies of the genetic and neurobiological mechanisms that contribute to the evolution of behaviour.