Understanding animals' behaviors is significant for a wide range of applications. However, existing animal behavior datasets have limitations in multiple aspects, including limited numbers of animal classes, data samples and provided tasks, and also limited variations in environmental conditions and viewpoints. To address these limitations, we create a large and diverse dataset, Animal Kingdom, that provides multiple annotated tasks to enable a more thorough understanding of natural animal behaviors. The wild animal footages used in our dataset record different times of the day in extensive range of environments containing variations in backgrounds, viewpoints, illumination and weather conditions. More specifically, our dataset contains 50 hours of annotated videos to localize relevant animal behavior segments in long videos for the video grounding task, 30K video sequences for the fine-grained multi-label action recognition task, and 33K frames for the pose estimation task, which correspond to a diverse range of animals with 850 species across 6 major animal classes. Such a challenging and comprehensive dataset shall be able to facilitate the community to develop, adapt, and evaluate various types of advanced methods for animal behavior analysis. Moreover, we propose a Collaborative Action Recognition (CARe) model that learns general and specific features for action recognition with unseen new animals. This method achieves promising performance in our experiments. Our dataset can be found at https://sutdcv.github.io/Animal-Kingdom.