Poorly
As noted in the Wikia entry for the Fauna of Pern, the first explorers found no evidence of large mammalian life as anything but ancient fossils. The majority of land and air-based species are lizards, insects, and avians, which had adapted to the environment, finding shelter from the thread by virtue of small size, ability to burrow, or lairing within rock surfaces. The sea life, on the other hand, was able to survive by staying below the surface of the water while Thread fell, with the books noting that fish would consume the thread after its death.
Domesticated species introduced by the colonists survived because they could be kept under cover by means of technology, albeit sometimes just the primitive technology of strong roofs.
One area they do not address is the survival of the Felines, although only the Southern species are noted to have survived to the modern day, while the Mrreows disappeared some time after Ninth Pass. It is possible that, between being enhanced with mentasynth and the increased ground cover from surviving vegetation due to the grubs, that they were able to find more shelter from the falling thread.