Uncovering genomic regions involved in adaption is a major goal in evolutionary biology. High-throughput sequencing now makes it possible to tackle this challenge in nonmodel species. Yet, despite the increasing number of methods targeted to specifically detect genomic footprints of selection, the complex demography of natural populations often causes high rates of false positive in gene discoveries. The aim of this study was to identify climate adaptations in wild pearl millet populations, Cenchrus americanus ssp. monodii. We focused on two climate gradients, one in Mali and one in Niger. We used a two-step strategy to limit false-positive outliers. First, we considered gradients as biological replicates and performed RNA sequencing of four populations at the extremities. We combined four methods—three based on differentiation among populations and one based on diversity patterns within populations—to identify outlier SNPs from a set of 87 218 high-quality SNPs. Among 11 155 contigs of pearl millet reference transcriptome, 540 exhibited selection signals as evidenced by at least one of the four methods. In a second step, we genotyped 762 samples in 11 additional populations distributed along the gradients using SNPs from the detected contigs and random SNPs as control. We further assessed selection on this large data set using a differentiation-based method and a method based on correlations with environmental variables based. Four contigs displayed consistent signatures between the four extreme and 11 additional populations, two of which were linked to abiotic and biotic stress responses.