Among social species, iterative interactions may lead to social preferences among group-mates and often are associated with increased mating opportunities or improved indirect fitness benefits. Although preferential associations have been documented in multiple species, this phenomenon has never been empirically studied in bats—the second largest order of mammals, where many of the 1200+ species live in groups of tens to hundreds of individuals. Given the current understanding of the social behaviour exhibited in this species, we explored the possibility that adult female big brown bats (Eptesicus fuscus (Beauvois, 1796)) show preferential association between group-mates using a pairwise choice design with individuals from a captive colony. Focal individuals were placed in a Y-maze and were given free choice of two familiar conspecifics. We measured the time focal individuals spent in close proximity to each conspecific. Our results indicate that some bats exhibit preferential association between group-mates, as multiple individuals spent significantly more time in close proximity to one conspecific versus another, despite randomizing the position of stimulus bats between trials. Given the frequent and long-term associations between group members of this species, social preferences could play a significant role in the outcomes of their long-term fitness.