This phenomenon is called self-anointing, or "anting," and is normal behavior for hedgehogs. When a hedgehog finds something with a new or unusual smell, it might self-anoint. Young hedgehogs typically exhibit this behavior more often than adults, perhaps because more smells are new to them. Also, some hedgehogs are more prone to self-anointing than others. You may see this behavior if you handle a hedgehog with sweaty hands or after using lotion or a fragrant soap on your hands. It is not known for sure why hedgehogs self-anoint; however, hedgehogs are highly resistant to most toxins, and they might be trying to protect themselves from other animals by covering themselves with a potentially toxic mixture.
