The joint provision of audit and non‐audit services by incumbent auditors has been intensively debated in the literature. The basic issue is that, while non‐audit services can impair auditor independence, knowledge spillovers from these services can reduce the audit cost. This is an important trade‐off for small and medium‐sized enterprises (SMEs) that depend on their auditors for non‐audit services. Using data from 322 Swedish SMEs, this study investigates the choice of purchasing non‐audit services from the incumbent auditor and other audit firms. We hypothesize, and find, that the length of the auditor‐client relationship is positively related to the purchase of non‐audit services from incumbent auditors. Also, we find a positive association between perceived quality of audit services and the likelihood of a client purchasing non‐audit services from the auditor. However, unlike studies of publicly traded companies, agency variables do not drive the purchase of non‐audit services by SMEs.