Habitat selection can be detected at different scales. For small mammals, habitat studies normally evaluate micro- or meso-habitat selection, but rarely are multiple scales analysed simultaneously. These studies use quantitative data of structural characteristics around the trap stations to evaluate selection. We test an alternative method to evaluate habitat selection in three didelphid marsupials (Didelphis aurita, Philander frenatus and Metachirus nudicaudatus), using a spool-and-line device, and measure habitat selection at two spatial scales. Habitat was characterized by seven habitat variables measured at ten points of direction change along the path traversed by each individual, and at 25 trap stations distributed in a 1-ha area. Micro-habitat selection was estimated at each point by comparing habitat measures between the direction selected against other directions. Meso-habitat selection was estimated by comparing habitat measurements on the whole path of an individual against habitat measures on the 25 trap stations. Patterns of selection for each species could only be detected at the meso-habitat scale, although a few individuals in each species were selective at the micro-habitat scale. Studies of habitat selection need to address the scale of study quantitatively, if possible comparing two or more scales to determine the scale of selection.