Native prey can be particularly vulnerable to consumption by exotic predators. Prey naiveté, the failure to recognize a novel predator due to lack of recent co-evolutionary history, likely facilitates the disproportionate impact that some exotic predators exert on prey populations. Lionfish Pterois volitans, exotic predators from the Pacific, have invaded coral reefs and other coastal habitats along the western Atlantic. Prey naiveté towards novel lionfish was tested in field experiments and with observations using closest approach distance as the anti-predator response. We quantified the distance of prey fishes to exotic lionfish in both the Atlantic and Pacific (invasive and native ranges of lionfish) as well as to native predators in the Atlantic. In the Atlantic, experiments indicated that Haemulon plumierii, prey of lionfish, generally display a closer approach distance to exotic than to native predators, and field observations of free-ranging fish revealed that at least 5 other species of small fishes (Halichoeres bivitattus, Halichoeres garnoti, Scarus taeniopterus, Stegastes leucostictus and Thalassoma bifasciatum) also might exhibit limited predator-avoidance behaviour towards invasive lionfish. We also found that 3 families of small fish (Labridae, Pomacentridae and Scaridae) maintained greater distances from lionfish in the Pacific compared with the Atlantic in both experimental and field observations. These results suggest prey naiveté to exotic lionfish by at least 8 species of fish (Abudefduf saxatilis, H. plumierii, H. bivitattus, H. garnoti, S. taeniopterus, Sparisoma aurofrenatum, S. leucostictus and T. bifasciatum) in the Atlantic, which could be contributing to the rapid expansion of this invasive species by enhancing its fitness and reproductive output through high predation efficiency.