The Brazilian free-tailed bat (Tadarida brasiliensis) generally is considered a migratory species in western North America. Throughout the southwestern United States, however, winter records are known from many scattered locations. Here I report on T. brasiliensis exiting and entering a cave in southern New Mexico from November to March. I observed that a winter colony of Brazilian free-tailed bats at Carlsbad Cavern was comprised of males and females of different ages, and in February and March, I documented that numbers of individuals inhabiting the cavern were much higher than previously reported. Nearly all individuals returning to the cavern fed in November, about one-half fed in January and February, and none fed in early December and late March. I suspect that individuals wintering in the cavern consume insects during all colder months in the region, and lack of observations of bats feeding in December and March only reflect extremely windy conditions on nights of sampling. From December to March, body masses of individuals declined about 15%. Although this study adds to our understanding of the natural history of T. brasiliensis in winter, why some individuals remain in such northerly areas and do not migrate farther south is not yet understood.