Methods that accurately estimate animal abundance or density are crucial for wildlife management. Although numerous techniques are available, there have been few comparisons of the precision and cost-effectiveness of different approaches. We assess the precision and cost of three methods for estimating densities of the Endangered Grevy's zebra Equus grevyi. We compare distance sampling and photographic capture–recapture, and a new technique, the random encounter model (REM) that uses camera-trap encounter rates to estimate density. All three methods provide comparable density estimates for Grevy's zebra and are preferable to the common practice of raw counts. Photographic capture–recapture is the most precise and line-transect distance sampling the least precise. Line transects and photographic capture–recapture surveys are cost-effective in the first year and REM is most cost-effective in the long-term. The methods used here for Grevy's zebra may be applied to other rangeland ungulates. We suggest that for single species monitoring programmes in which individuals can be identified, photographic capture–recapture surveys may be the preferred method for estimating wildlife abundances. When encounter rates are low, distance sampling lacks the precision of the other methods but its cost advantage may make it appropriate for long-term or multi-species monitoring programmes. The REM is an efficient and precise method of estimating densities but has high initial equipment costs. We believe REM has the potential to work well for many species but it requires independent estimates of animal movements and group size.