I know there aren't a lot and that they are extinct passed a certain time.
After a scrutiny with the World builder I found 2 Mammoths in a tiny continent in the South with no human settlement
But the problem remain as there are only 2 on a huge map and I'm pretty sure to be the only one capable of killing one, the IA don't have hunters yet and except one that I freed, don't go hunting when surrounded by big beast (SabreTooth, Lions, Hasts Eagles, etc.) with several promotions.
But what's bug me is that since rev 1643, there is way less mammoths on the map than before.
You can see by yourself with 2 saves approximately at the same period (around 66000 BC)
1st one from last December with 17 Mammoths on a Giant map, and the current I play with only 2 Mammoths on a Huge map
I made an error in my sentence, but I got the excuse with English not being my native language... As you can see in the 2nd save I use the "peace among NPC" option, so there should be lizards but I can't find any, I already killed 24 Gorillas, 19 Jaguars but only 1 Lizard. And believe me I hunt everything I found.