The first pyramids were built while the woolly mammoth was still alive. While most mammoths died out 10,000 years ago, a small population still survived until 1650 BC. By that point, Egypt was halfway through its empire, and the Giza Pyramids were already 1000 years old.
The woolly mammoths, the ancestors of the present-day Asian elephants, evolved in the Pleistocene epoch, and are one of the most extensively studied animals of prehistoric times. They possessed two layers of fur cover and short ears and tails to remain protected against frostbite. They were also herbivores like the present day elephants, and lived on a diet of grasses and hedges.
Source: http://www.worldatlas.com/articles/did-woolly-mammoths-still-roam-parts-of-earth-when-the-great-pyramids-were-built.html, http://www.emlii.com/a583540f/28-Puzzling-Facts-About-Time-That-Will-Leave-You-Stunned