Predators influence prey populations not only through predation itself, but also indirectly through prompting changes in prey behaviour. The behavioural adjustments of prey to predation risk may carry nutritional costs, but this has seldom been studied in the wild in large mammals. Here, we studied the effects of an ambush predator, the African lion (Panthera leo), on the diet quality of plains zebras (Equus quagga) in Hwange National Park, Zimbabwe. We combined information on movements of both prey and predators, using GPS data, and measurements of faecal crude protein, an index of diet quality in the prey. Zebras which had been in close proximity to lions had a lower quality diet, showing that adjustments in behaviour when lions are within short distance carry nutritional costs. The ultimate fitness cost will depend on the frequency of predator-prey encounters and on whether bottom-up or top-down forces are more important in the prey population. Our finding is the first attempt to our knowledge to assess nutritionally mediated risk effects in a large mammalian prey species under the threat of an ambush predator, and brings support to the hypothesis that the behavioural effects of predation induce important risk effects on prey populations.