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The decline and loss of biodiversity provoked by human activities have caused ecologists and conservationists to center their attention on the design of conservation priority areas (PAs), focusing mainly on species conservation in terms of richness, rarity and/or vulnerability. However, biodiversity has multiple dimensions, evolutionary processes have recently been labeled the 'missing component' of conservation strategies, and increasingly more authors are suggesting that the ecological, evolutionary and historical aspects of biodiversity are key components of conservation planning. In this study we develop a prioritization system to design conservation PAs using the wild terrestrial mammals of the Iberian Peninsula as an example. We aim to contribute to the design of more suitable PAs by integrating ecological components of biodiversity (species richness, vulnerability and rarity), evolutionary aspects (accumulated genetic diversification) and historical information relevant to the study area. After selecting a set of biodiversity indicators, we applied a multi-objective technique (extended goal programming) to construct a combined index, where values in the top 90th percentile were then used to select the PAs. According to our most efficient and satisfactory results, some areas highlighted for their conservation are currently categorized as PAs, however, we found that it would be necessary to reconsider their extent, especially in northern Spain, where the historical aspects of biodiversity (the missing component) are more widely present. The need to determine PAs is unquestionable. However, it should also be a priority to move towards a model of sustainable and fair development.