Anti‐predator behavior can affect prey growth, reproduction, survival, and generate emergent effects in food webs. Small mammals often lower the cost of predation by altering their behavior in response to shrubs, but the importance of other microhabitat features, such as downed woody debris, for anti‐predator behavior is unknown. We used giving‐up densities to quantify the degree to which downed woody debris alters perceived predation risk by small mammals in southeastern pine forests. We placed 14 foraging trays next to large downed woody debris, shrubs, and in open areas for 12 consecutive nights. Moon illumination, a common indicator of predation risk, led to a similar reduction in small mammal foraging in all three microhabitats (open, downed woody debris, and shrub). Small mammals perceived open microhabitats as riskier than shrub microhabitats, with downed woody debris habitats perceived as being of intermediate risk between shrub and open microhabitats. Despite the presumed benefits of the protective cover of downed woody debris, small mammals may perceive downed woody debris as a relatively risky foraging site in southeastern pine forests where the high diversity and abundance of rodent‐eating snakes may provide a primary predatory threat.