In this paper, the authors report the discovery of a new site called Psytuaje rockshelter, located close to the town of Zayukovo in Kabardino-Balkaria Republic (Elbrus region, north-central Caucasus, Russia). The area is famous in that it is the only obsidian source known in the Northern Caucasus, called Zayukovo or Baksan. A single radiocarbon date initially defines the youngest age estimate (the beginning of the Holocene) for the archaeological material obtained in a test excavation dug in the rockshelter in 2018. The radiocarbon dating and archaeological comparison with other sites in this region suggest that Psytuaje rockshelter represents a new Epipalaeolithic site, which is likely dated to the final of this period correlating to the beginning of the Holocene. At present, only two other Epipalaeolithic sites (Sosruko and Badynoko rockshelters) are known in the region. Both are located on a small area of the Baksan River valley (a large tributary of the Terek River). Located in a valley of a small river of Fanduko (a tributary of the Baksan River) and in vicinity of the Zayukovo (Baksan) obsidian source, Psytuaje rockshelter has the potential to produce data on subsistence and cultural changes in Epipalaeolithic population of this region at the boundary of the Pleistocene and Holocene.