A rich fossil record chronicles the distant origins of mammals, but the evolution of defining soft tissue characters of extant mammals, such as mammary glands and hairs is difficult to interpret because soft tissue does not readily fossilize. As many soft tissue features are derived from dermic structures, their evolution is linked to that of the nervous syutem, and palaeoneurology offers opportunities to find bony correlates of these soft tissue features. Here, a CT scan study of 29 fossil skulls shows that non-mammaliaform Prozostrodontia display a retracted, fully ossified, and non-ramified infraorbital canal for the infraorbital nerve, unlike more basal therapsids. The presence of a true infraorbital canal in Prozostrodontia suggests that a motile rhinarium and maxillary vibrissae were present. Also the complete ossification of the parietal fontanelle (resulting in the loss of the parietal foramen) and the development of the cerebellum in Probainognathia may be pleiotropically linked to the appearance of mammary glands and having body hair coverage since these traits are all controlled by the same homeogene, Msx2, in mice. These suggest that defining soft tissue characters of mammals were already present in their forerunners some 240 to 246 mya.