Anopheles gambiae s.l. are important malaria vectors, but little is known about their genomic variation in the wild. Here we present inter- and intra- species analysis of genome-wide RADseq data, in three Anopheles gambiae s.l. species collected from East Africa. The mosquitoes fall into three genotypic clusters representing described species (An. gambiae, An. arabiensis, and An. merus) with no evidence of cryptic breeding units. An. merus is the most divergent of the three species, supporting a recent new phylogeny based on chromosomal inversions. Even though the species clusters are well separated, there is extensive shared polymorphism, particularly between An. gambiae and An. arabiensis. Divergence between An. gambiae and An. arabiensis does not vary across the autosomes, but is higher in X-linked inversions than elsewhere on X or on the autosomes, consistent with the suggestion that this inversion (or a gene within it) is important in reproductive isolation between the species. The 2La/2L+a inversion shows no more evidence of introgression between An. gambiae and An. arabiensis than the rest of the autosomes. Population differentiation within An. gambiae and An. arabiensis is weak over ~190-270km, implying no strong barriers to dispersal. Analysis of Tajima's D and the allele frequency spectrum is consistent with modest population increases in An. arabiensis and An. merus, but a more complex demographic history of expansion followed by contraction in An. gambiae. Although they are less than 200km apart, the two An. gambiae populations show evidence of different demographic histories.