In June 2008, two pygmy killer whales (Feresa attenuata) were stranded alive near Boca Grande, FL, USA, and were taken into rehabilitation. We used this opportunity to learn about the peripheral anatomy of the auditory system and hearing sensitivity of these rare toothed whales. Three-dimensional (3-D) reconstructions of head structures from X-ray computed tomography (CT) images revealed mandibles that were hollow, lacked a bony lamina medial to the pan bone and contained mandibular fat bodies that extended caudally and abutted the tympanoperiotic complex. Using auditory evoked potential (AEP) procedures, the modulation rate transfer function was determined. Maximum evoked potential responses occurred at modulation frequencies of 500 and 1000 Hz. The AEP-derived audiograms were U-shaped. The lowest hearing thresholds occurred between 20 and 60 kHz, with the best hearing sensitivity at 40 kHz. The auditory brainstem response (ABR) was composed of seven waves and resembled the ABR of the bottlenose and common dolphins. By changing electrode locations, creating 3-D reconstructions of the brain from CT images and measuring the amplitude of the ABR waves, we provided evidence that the neuroanatomical sources of ABR waves I, IV and VI were the auditory nerve, inferior colliculus and the medial geniculate body, respectively. The combination of AEP testing and CT imaging provided a new synthesis of methods for studying the auditory system of cetaceans.