Levels of genetic differentiation vary widely along the genomes of recently diverged species. What processes cause this variation? Here I analyze geographic population structure and genome-wide patterns of variation in the Rufous, Allen's, and Calliope Hummingbirds (Selasphorus rufus/sasin/calliope) and assess evidence that linked selection on the Z chromosome drives patterns of genetic differentiation in a pair of hybridizing species. Demographic models, introgression tests, and genotype clustering analyses support a reticulate evolutionary history consistent with divergence during the late Pleistocene followed by gene flow across migrant Rufous and Allen's Hummingbirds during the Holocene. Relative genetic differentiation is elevated and within-population diversity depressed on the Z chromosome in all interspecific comparisons. The ratio of Z to autosomal within-population diversity is much lower than that expected from population size effects alone, and Tajima's D is depressed on the Z chromosome in S. rufus and S. calliope. These results suggest that conserved structural features of the genome play a prominent role in shaping genetic differentiation through the early stages of speciation in northern Selasphorus hummingbirds, and that the Z chromosome is a likely site of genes underlying behavioral and morphological variation in the group.