In most mammals, the Zfp36 gene family consists of three conserved members, with a fourth member, Zfp36l3, present only in rodents. The ZFP36 proteins regulate post-transcriptional gene expression at the level of mRNA stability in organisms from humans to yeasts, and appear to be expressed in all major groups of eukaryotes. In Mus musculus, Zfp36l3 expression is limited to the placenta and yolk sac, and is important for overall fecundity. We sequenced the Zfp36l3 gene from more than 20 representative species, from members of the Muridae, Cricetidae and Nesomyidae families. Zfp36l3 was not present in Dipodidae, or any families that branched earlier, indicating that this gene is exclusive to the Muroidea superfamily. We provide evidence that Zfp36l3 arose by retrotransposition of an mRNA encoded by a related gene, Zfp36l2 into an ancestral rodent X chromosome. Zfp36l3 has evolved rapidly since its origin, and numerous modifications have developed, including variations in start codon utilization, de novo intron formation by mechanisms including a nested retrotransposition, and the insertion of distinct repetitive regions. One of these repeat regions, a long alanine rich-sequence, is responsible for the full-time cytoplasmic localization of Mus musculus ZFP36L3. In contrast, this repeat sequence is lacking in Peromyscus maniculatus ZFP36L3, and this protein contains a novel nuclear export sequence that controls shuttling between the nucleus and cytosol. Zfp36l3 is an example of a recently acquired, rapidly evolving gene, and its various orthologues illustrate several different mechanisms by which new genes emerge and evolve.