Conditions for thermodynamic stability of asymptotically anti-de Sitter rotating black holes in D-dimensions are determined. Local thermodynamic stability requires not only positivity conditions on the specific heat and the moment of inertia tensor but it is also necessary that the adiabatic compressibility be positive. It is shown that, in the absence of a cosmological constant, neither rotation nor charge is sufficient to ensure full local thermodynamic stability of a black hole. Thermodynamic stability properties of anti-de Sitter Myers-Perry black holes are investigated for both singly spinning and multi-spinning black holes. Simple expressions are obtained for the specific heat and moment of inertia tensor in any dimension. An analytic expression is obtained for the boundary of the region of parameter space in which such space-times are thermodynamically stable.