Climatic oscillations during the Pleistocene have greatly influenced the distribution and connectivity of many organisms, leading to extinctions but also generating biodiversity. While the effects of such changes have been extensively studied in the terrestrial environment, studies focusing on the marine realm are still scarce. Here we used sequence data from one mitochondrial and five nuclear loci to assess the potential influence of Pleistocene climatic changes on the phylogeography and demographic history of a cosmopolitan marine predator, the common dolphin (genus Delphinus). Population samples representing the three major morphotypes of Delphinus were obtained from ten oceanic regions. Our results suggest that short-beaked common dolphins are likely to have originated in the eastern Indo-Pacific Ocean during the Pleistocene and expanded into the Atlantic Ocean through the Indian Ocean. On the other hand, long-beaked common dolphins appear to have evolved more recently and independently in several oceans. Our results also suggest that short-beaked common dolphins had recurrent demographic expansions concomitant with changes in sea surface temperature during the Pleistocene and its associated increases in resource availability, which differed between the North Atlantic and Pacific Ocean basins. By proposing how past environmental changes had an effect on the demography and speciation of a widely distributed marine mammal, we highlight the impacts that climate change may have on the distribution and abundance of marine predators and its ecological consequences for marine ecosystems.