Mixed-species associations are temporary associations between individuals of different species that are often observed in birds, primates and cetaceans. They have been interpreted as a strategy to reduce predation risk, enhance foraging success and/or provide a social advantage. In the archipelago of the Azores, four species of dolphins are commonly involved in mixed-species associations: the common dolphin, Delphinus delphis, the bottlenose dolphin, Tursiops truncatus, the striped dolphin, Stenella coeruleoalba, and the spotted dolphin, Stenella frontalis. In order to understand the reasons why dolphins associate, we analysed field data collected since 1999 by research scientists and trained observers placed onboard fishing vessels. In total, 113 mixed-species groups were observed out of 5720 sightings. The temporal distribution, habitat (water depth, distance to the coast), behaviour (i.e. feeding, travelling, socializing), size and composition of mixed-species groups were compared with those of single-species groups. Results did not support the predation avoidance hypothesis and gave little support to the social advantage hypothesis. The foraging advantage hypothesis was the most convincing. However, the benefits of mixed-species associations appeared to depend on the species. Associations were likely to be opportunistic in the larger bottlenose dolphin, while there seemed to be some evolutionary constraints favouring associations in the rarer striped dolphin. Comparison with previous studies suggests that the formation of mixed-species groups depends on several environmental factors, and therefore may constitute an adaptive response.