Space animal is a collective slang term that commonly refers to the Star Fox characters (Fox, Falco, and Wolf). The terminology arose out of the study of competitive Super Smash Bros. Melee, where the stark similarity between Fox and Falco's physical properties (most importantly high falling speed, high gravity, and light weight) can be exploited by opponents in similar ways, such as in chain throws like Marth's up throw chain throw in Melee and Pikachu's zero-death down throw chain throw in Brawl, or specialized combos such as Melee Jigglypuff's space animal slayer. With the release of Super Smash Bros. Brawl, Wolf became lumped into the group, being vulnerable to many of the same things they are, despite his higher weight.
In addition to the three Star Fox characters, Captain Falcon also has high gravity and high falling speed. As a result, Captain Falcon is vulnerable to many of the combos and chain throws that afflict the space animals despite his much heavier weight, and is sometimes considered part of the space animals in some circles despite not being a Star Fox character.