The Mexican free-tailed bat (Tadarida brasiliensis) is one of the most widely distributed bat species in the Western Hemisphere. Despite their prevalence in urban environments, limited research has been conducted to determine the features of buildings or of the surroundings that might affect the likelihood of a building being selected by Mexican free-tailed bats as a roost. Our study objectives were to improve the current understanding of Mexican free-tailed bat's urban roosting preferences with regard to both microhabitat and macrohabitat. Between August 2010 and August 2012, we conducted acoustic surveys and emergence observations and examined 218 buildings in Waco, TX, USA. A total of 54 day-roosts for Mexican free-tailed bats was identified. At the microhabitat scale, modeling of building characteristics and opening characteristics showed that bats preferred to roost in tall and abandoned buildings. Roost exits were more likely the results of structural damage to buildings and less likely to have vegetation blocking the adjacent air space. Roost accessibility seemed to be more important than thermal condition in roost selection. At the broader macrohabitat scale, bats were more likely to roost in areas with lower income and were near tall buildings and water sources.