The behaviour and habitat associations of aerial insectivorous bats are poorly understood despite constituting up to 65% of bat species in the Neotropics. In 2003, 2004 and 2005 we quantified the activity of insectivorous bats and their insect prey at pastureland and forest sites with and without cenotes (water-filled sinkholes) in the Yucatan Peninsula, Mexico. We used a time-expansion bat detector to survey each habitat for 24 nights and analysed 2,880 one-minute recorded sequences to determine bat activity. We identified 14 species and five phonic types belonging to four families. Bat activity and the average number of bat species acoustically sampled each night were significantly greater in habitats with cenotes than in those without. Pteronotus personatus and an unidentified molossid were recorded exclusively at cenotes. Peropteryx macrotis showed the highest activity of all bat species. In all habitats insects were more abundant during the rainy season but only in pastureland was bat activity significantly greater during the rainy season. Insect abundance was correlated with bat activity only at cenotes in pastureland. Cenotes are important foraging habitats for insectivorous bats as 16 species, 84% of those revealed by this study, were recorded feeding in these habitats and the number of feeding buzzes was higher in comparison to habitats without cenotes. Protection of cenotes and their surrounding vegetation should be a management priority in order to conserve the high diversity of insectivorous bats associated with these distinctive habitats.