Nests provide a comfortable environment for individuals to raise young, avoid predators and rest, therefore, nesting is a critical facet of life for many species. A detailed understanding of nest site characteristics of species is important for the development of sound conservation and habitat management plan. The Grey-headed flying squirrel (Petaurista caniceps) is a small, nocturnal, arboreal mammal. It is found in southern, central and southwestern China. As a mammal in the list of National Protection of Useful or Have Important Economic and Scientific Research Values in China, little is known about the nest site use of this species. We conducted research on the nest site characteristics of the Grey-headed flying squirrel at three spatial scales (nest placement, nest tree, and nest site) in Baima Snow Mountain National Nature Reserve, Yunnan, China, in order to reveal the important ecological factors affecting the nest site selection of Grey-headed flying squirrel and further enrich wild species ecological and biological data. Data were collected from June to August and September to December 2012. The results showed that Grey-headed flying squirrel preferred two types of nest which included drey and cavity. All nests were found in the live trees. Dreys were typically made up of twigs, bark, moss and other materials. Dreys had larger openings (12.1±0.1) cm (n=15) than those of cavities(10.8±0.5) cm (n=15)(Mann-Whitney U test Z=-3.521, P=0.000), and shallower nests were built in the case of dreys (23.4±1.1) cm than cavities (59.2±1.2) cm (Mann-Whitney U test Z=-4.692, P=0.000). Most nests of the flying squirrel were built close to the main trunk (0.2±0.1) m and at a similar height (11.3±0.8) m (n=30). The average relative height of the nests is (0.67±0.03), indicating that Grey-headed flying squirrel usually built nest in the upper part of the tree. There was significant difference (One-Way ANOVA Test, F_1,28=38.865, P=0.000)in the relative height between dreys (0.77±0.03) and cavities (0.51±0.03), but not (One-Way ANOVA Test, F_1,28=2.195, P=0.150) in the average nest height. The Grey-headed flying squirrel did not show a significant preference (χ²=13.733,df=7,P=0.056) to the nest entrance direction. We found most cavities in the broadleaf trees (i.e. Quercus aquifolioides, Cyclobalanopsis glauca, Acer oliverianumi) and dreys only in the conifer species (i.e. pinus yunnanensis, Sabina pingii). The DBH (average diameter at breast height) and the average height of drey trees was significantly smaller than those of cavity trees. Characteristics of nest trees and nest sites were compared with randomly selected trees and sites. Grey-headed flying squirrel prefers to the nest trees with larger crown size and more access routes. The results of logistic regression analysis showed that differences in slope, slope position, slope aspect, and distance to water between nest sites and random sites was non-significant. On the contrary, nest sites used by Grey-headed flying squirrel differed from the random sites in that their larger canopy cover and higher shrub cover, suggesting that the Grey-headed flying squirrel seem to select nesting areas with high security and food availability.