The Monty Hall Dilemma (MHD) is a well-known probability puzzle in which players try to guess which of three doors conceals a prize. After selecting a door, players are shown that there is no prize behind one of the remaining doors. Players then are given a choice to stay with their door or switch to the other unopened door. Most people stay, even though switching doubles the probability of winning. The MHD offers one of the clearest examples of irrational choice behavior in humans. The present experiment investigated how monkeys and humans would behave when presented with a computerized version of the MHD. Specifically, we were interested in whether monkeys were more likely to engage in a switching strategy than humans and whether both species could learn to switch with repeated trials. Initially, humans and monkeys showed indifference between the two options of either staying with their initial choice or switching. With experience, members of both species learned to use the switch strategy at above chance levels, but there were individual differences with only approximately half of the participants in each species learning to choose the more optimal response. Thus, humans and monkeys showed similar capacity to adjust their responding as a result of increased experience with this probabilistic task.