The mammalian prefrontal cortex is involved in various behavioural and cognitive functions including working memory. Network oscillations play a pivotal role in behaviour, cognition and memory formation and support communication between brain structures. Earlier we have shown that temporal coupling between slow and fast network oscillations in hippocampus and the overlaying parietal cortex varies strongly across the sleep-wake cycle. However, the patterns of cross-frequency coupling within or between other brain structures and their dependence on behavioural state remain largely unknown. Here we recorded from prefrontal cortex, medial thalamus, olfactory bulb and hippocampus of freely moving mice. In addition to the well-known theta rhythm (4-12 Hz) prominent in active waking and REM sleep in the hippocampus, we found a slower oscillation (2-4 Hz) in deep layers of the prefrontal cortex which was most pronounced in waking states without theta. Simultaneous recordings from the olfactory bulb revealed a strong correlation of the prefrontal slow oscillation with the olfactory (respiratory) rhythm. Both rhythms strongly modulated high gamma oscillations (70-100 Hz). Surprisingly, theta oscillation and slow “olfactory” oscillations were also prominent in medial thalamus, where the “olfactory” rhythm coupled to high gamma, and theta to low gamma (40-60 Hz). Thus, the medial thalamus seems to be an intermediate structure which participates in both oscillatory patterns, being active during both, theta and “olfactory”-dominated states. Our data confirm the strong specificity and heterogeneity of network oscillations and their dependence on vigilance states.