Whether or not evolutionary lineages in general show a tendency to increase in body size has often been discussed. This tendency has been dubbed “Cope's rule” but because Cope never hypothesized it, we suggest renaming it after Depéret, who formulated it clearly in 1907. Depéret's rule has traditionally been studied using fossil data, but more recently a number of studies have used present-day species. While several paleontological studies of Cenozoic placental mammals have found support for increasing body size, most studies of extant placentals have failed to detect such a trend. Here, we present a method to combine information from present-day species with fossil data in a Bayesian phylogenetic framework. We apply the method to body mass estimates of a large number of extant and extinct mammal species, and find strong support for Depéret's rule. The tendency for size increase appears to be driven not by evolution toward larger size in established species, but by processes related to the emergence of new species. Our analysis shows that complementary data from extant and extinct species can greatly improve inference of macroevolutionary processes.