Spatial autocorrelation (SAC) is a common feature of ecological data where observations tend to be more similar at some geographic distance(s) than expected by chance. Despite the implications of SAC for data dependencies, its impact on the performance of species distribution models (SDMs) remains controversial, with reports of both strong and negligible impacts on inference. Yet, no study has comprehensively assessed the prevalence and the strength of SAC in the residuals of SDMs over entire geographic areas. Here, we used a large‐scale spatial inventory in the western Swiss Alps to provide a thorough assessment of the importance of SAC for (1) 850 species belonging to nine taxonomic groups, (2) six predictors commonly used for modeling species distributions, and (3) residuals obtained from SDMs fitted with two algorithms with the six predictors included as covariates. We used various statistical tools to evaluate (1) the global level of SAC, (2) the spatial pattern and spatial extent of SAC, and (3) whether local clusters of SAC can be detected. We further investigated the effect of the sampling design on SAC levels. Overall, while environmental predictors expectedly displayed high SAC levels, SAC in biodiversity data was rather low overall and vanished rapidly at a distance of ~5–10 km. We found low evidence for the existence of local clusters of SAC. Most importantly, model residuals were not spatially autocorrelated, suggesting that inferences derived from SDMs are unlikely to be affected by SAC. Further, our results suggest that the influence of SAC can be reduced by a careful sampling design. Overall, our results suggest that SAC is not a major concern for rugged mountain landscapes.