Niche evolution underpins the generation and maintenance of biological diversity, but niche conservatism, in which niches remain little changed over time in closely related taxa and the role of ecology in niche evolution are continually debated. To test whether climate niches are conserved in two closely related passerines in East Asia – the vinous-throated (Paradoxornis webbianus) and ashy-throated (P. alphonsianus) parrotbills – we established their potential allopatric and sympatric regions using ecological niche models and compared differences in their climate niches using niche overlap indices in background tests and multivariate statistical analyses. We also used polymorphism data on 44 nuclear genes to infer their divergence demography. We found that these two parrotbills occupy different climate niches, in both their allopatric and potential sympatric regions. Because the potential sympatric region is the area predicted to be suitable for both parrotbills based on the ecological niche models, it can serve as a natural common garden. Therefore, their observed niche differences in this potential sympatry were not simply rendered by phenotypic plasticity, and probably had a genetic basis. Our genetic analyses revealed that the two parrotbills are not evolutionarily independent for the most recent part of their divergence history. The two parrotbills diverged c. 856,000 years ago, and have had substantial gene flow since a presumed secondary contact c. 290,000 years ago. This study provides an empirical case demonstrating that climate niches may not be homogenized in nascent species in spite of substantial, ongoing gene flow, which in turn suggests a role for ecology in promoting and maintaining diversification among incipient species.