" Biogeographical evidence is also suggestive: the areas of the world where humans evolved currently have more of their Pleistocene megafaunal diversity (the elephants and rhinos of Asia and Africa) compared to other areas such as Australia, the Americas, Madagascar and New Zealand without the earliest humans. A picture arises of the megafauna of Asia and Africa evolving alongside humans, learning to be wary of them, and in other parts of the world the wildlife appearing ecologically naive and easier to hunt."

https://en.wikipedia.org/wiki/Quaternary_extinction_event#Hu...

I have read that this is related to the end of the last ice age. Africa was apparently the continent which was least affected by melting of European and North American ice sheets.

North America and Europe underwent dramatic climate change as several hundred feet tall ice sheets covering large parts of the land mass melted and temperatures rose suddenly which would explain why megafauna went completely extinct in NA/Europe.

Then there is also human factor of hunting these animals for meat and leather but it was probably a combination of factors.

African megafauna has almost entirely disappeared from anywhere but protected reserves.

when all you have is a spear, going after "slow", grazing animals is "easy", but the Charismatic megafauna that survives today is in general, the ones you don't mess with (again, when all you have is a spear). Also, moose, bovine, etc... don't have hunting instincts like the big cats, or weigh 2,000lbs like hippos and rhinos... there isn't as much cover on the African plains as there is in the US to go after the larger, horned animals.