Predators impact prey populations not only by consuming individuals, but also by altering their behaviours. These non-lethal effects can influence food web properties as much as lethal effects. We studied the interaction between three ungulate prey species and gray wolves (Canis lupus) at multiple scales. First we found that bison (Bison bison) did not avoid areas where wolves spend most of their time, but instead, adjust their foraging behaviour to the level of risk. Second we evaluated the spatial game between radio-collared caribou (Rangifer tarandus), moose (Alces alces) and wolves. Both caribou and moose use several responses to the passage of wolves, including an increase in selection for food-rich forest stands. For example, caribou selected conifer stands with lichen more strongly for nearly 10 days following the passage of a wolf. We also showed how spatial patterns in predation risk, experienced by prey in a human-altered landscape, depend on how the other prey species respond to the same disturbance. Overall, our analyses demonstrate how the predator-prey game involves behavioural adjustments to the expectation of what the other player is most likely to do in a heterogeneous habitat.