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Behavioural ecologists have interpreted avian leks as products of sexual selection, in which males display socially to increase their opportunities to mate. However, without invoking reproductive queuing or kin selection, this paradigm does not necessarily explain why many males that fail to mate participate in leks. An alternative solution, that males also aggregate to reduce predation, has previously lacked compelling support. We show that mixed-species leks, comprising two congeneric grouse, form when single males or small groups of one species, the greater prairie chicken Tympanuchus cupido, join leks of another, the sharp-tailed grouse T. phasianellus. We documented the process by observing lek dynamics and comparing group sizes between mixed- and single-species leks. Joining implies that prairie chickens benefit from displaying with sharp-tailed grouse. The numbers of females of each species attending a lek increased with the number of conspecific, but not heterospecific, males. This suggests that the joining of heterospecifics is unlikely to increase mating opportunities, and leaves lowered predation risk as the most likely benefit of associating with heterospecifics. Active formation of mixed-species leks therefore suggests that predation may be sufficient to drive lek formation. The benefits of participation in mixed leks may be asymmetrical because prairie chickens display more and are less vigilant than sharp-tailed grouse.