C. penicillata has a very wide distribution, occurring in the cerrado region of east central Brazil. According to Hershkovitz 1977), this species occurs in the states of Bahia, Minas Gerais, Goiás, the south-west tip of Piauí, Maranhão and the north of São Paulo, north of the Rios Tieté and Piracicaba. In the north, it would seem that it is restricted to the south of the Rio Grande and Rio São Francisco (C. jacchus occurring to the north of the Rio Grande), although Vivo (1991) identified two skins in the Museu Nacional, Rio de Janeiro, from the north-east coast of Maranhão, at Miritiba (now called Humberto dos Campos), which he indicated extends its range right through eastern Maranhão, along the left bank of the Rio Parnaiba. The large gap between the next northernmost locality to the south (Canabrava, Rio Tocantins, Goiás, locality 275a of Hershkovitz 1977, p.490) and this northern Maranhão locality, indicates that they were probably introduced animals. They were not located by Hershkovitz (1977) and were presumed by him to be C. jacchus, following Ávila-Pires (1969). Silva Jr. (1999) carried out surveys in Maranhão and Piauí and did not report the occurrence of C. penicillata, only C. jacchus. The western limits of its range would seem to be marked by the Rio Araguaia, south from around 8ºS in the region of the Serra das Cordilheiras, extending into the north-east of the state of Mato Grosso Sul, east of the Serra de Maracaju to the level of the Rios Pardo or Taquaraçú, west (right) bank tributaries of the Rio Paraná.

Surveys in the north of the state of Minas Gerais have shown that C. penicillata extends its range through the region between the upper Rio São Francisco and the Rio Jequitinhonha, along the western slopes of the Serra do Espinhaço. C. penicillata occurs both sides of the Rio Jequitinhonha as far east as the Rio Araçuaí, a south (right) bank tributary of the upper Jequitinhonha, beyond which it is restricted to the north of the river, with C. geoffroyi occurring to the south (Rylands et al. 1988), the result of a recent introduction (ca. 1975) in the vicinity of Belmonte (Coimbra-Filho unpubl.). C. penicillata is typically of the cerrado region of Minas Gerais (in the central, south-west, west, and north of the state). Those parts originally covered by Atlantic coastal forest in the east and south-east (the Zona da Mata) are the domain of C. geoffroyi, C. flaviceps, and in part of the Rio Doce valley, C. aurita. However, with the destruction of the forest and also resulting from introductions (misguided release of confiscated animals), C. penicillata is taking a hold and probably replacing other species in numerous localities east and south of its original range (see, for example, Olmos and Martuscelli 1995). This is happening in the Rio Doce State Park, and is possibly also the case of C. penicillata reported by Vivo (1991; see also Coimbra-Filho 1984) from the Itatiaia National Park straddling the border of the states of Rio de Janeiro and Minas Gerais. In both cases, C. aurita is the species naturally occurring in the area.