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And on that note The woolly mammoth still roamed the earth while the pyramids were being built:

The last woolly mammoths died as late as 1650 BC on Russia's Wrangle Island (from what scientists can tell, anyway most populations of woolly mammoths disappeared long ago during the late Pleistocene and early Holocene periods, but some still survived on islands in Alaska and Russia).
By this time, the Egyptian Empire was already extremely advanced and building pyramids. In fact, the Great Pyramid of Giza had existed for 1,000 years by the time the last woolly mammoth died.