Megazostrodon

Megazostrodon is an early proto-mammal, discovered in Lesotho, southern Africa.
It is one of the first mammals, and appeared in the fossil record about 200/205 million years ago (mya). It did have some non-mammalian characteristics, but overall this animal, and "Morganucodon", probably show the final stage of the transition between the cynodonts and true mammals.
Characteristics.
It is thought that the animal was nocturnal as it had a relatively much larger brain than its cynodont relatives, and the enlarged areas of its brain were found to be those which process sounds and smells.
Nocturnal activity in an animal of this size virtually requires an increased internal production of heat.p124
From their size and teeth, "Megastrozodon" were probably insectivores, as were all its relatives at the time.p300 Their small size suggests some kind of temperature regulation, which in turn suggests insulation in the form of fur.
The night-time behaviour and insectivorous habits gave these early mammals a niche which did not compete with the reptiles.
These early mammals developed many traits which made them well-suited for an active lifestyle. They developed four types of teeth. There is evidence that the inward-closing movement of the mandible suggests a shearing action to chew food. Their skeletons changed so that their limbs were more flexible (they became less laterally splayed, allowing for faster forward motion) and they developed a shorter ribcage and larger lungs to allow for faster respiration. The structure of their jaw bones changed, the lower jaw becoming a single bone — the dentary. The other bones which once made up the jaw moved to the middle ear to create a hearing system.