To investigate genetic mechanisms of high altitude adaptations of native mammals on the Tibetan Plateau, we compared mitochondrial sequences of the endangered Pantholops hodgsonii with its lowland distant relatives Ovis aries and Capra hircus, as well as other mammals. The complete mitochondrial genome of P. hodgsonii (16,498 bp) revealed a similar gene order as of other mammals. Because of tandem duplications, the control region of P. hodgsonii mitochondrial genome is shorter than those of O. aries and C. hircus, but longer than those of Bos species. Phylogenetic analysis based on alignments of the entire cytochrome b genes suggested that P. hodgsonii is more closely related to O. aries and C. hircus, rather than to species of the Antilopinae subfamily. The estimated divergence time between P. hodgsonii and O. aries is about 2.25 million years ago. Further analysis on natural selection indicated that the COXI (cytochrome c oxidase subunit I) gene was under positive selection in P. hodgsonii and Bos grunniens. Considering the same climates and environments shared by these two mammalian species, we proposed that the mitochondrial COXI gene is probably relevant for these native mammals to adapt the high altitude environment unique to the Tibetan Plateau.