Ecological niche evolution can promote or hinder the differentiation of taxa and determine their distribution. Niche‐mediated evolution may differ among climatic regimes, and thus species that occur across a wide latitudinal range offer a chance to test these heterogeneous evolutionary processes. In this study, we examine (1) how many lineages have evolved across the continent‐wide range of the Eurasian nuthatch (Sitta europaea), (2) whether the lineages’ niches are significantly divergent or conserved, and (3) how their niche evolution explains their geographic distribution. Phylogenetic reconstruction and ecological niche models (ENMs) showed that the Eurasian nuthatch contained six parapatric lineages that diverged within two million years and did not share identical climatic niches. However, the niche discrepancy between these distinct lineages was relatively conserved compared with the environmental differences between their ranges and thus was unlikely to drive lineage divergence. The ENMs of southern lineages tended to cross‐predict with their neighboring lineages whereas those of northern lineages generally matched with their abutting ranges. The coalescence‐based analyses revealed more stable populations for the southern lineages than the northern ones during the last glaciation cycle. In contrast to the overlapping ENMs, the smaller parapatric distribution suggests that the southern lineages might have experienced competitive exclusion to prevent them from becoming sympatric. On the other hand, the northern lineages have expanded their ranges and their current abutting distribution might have resulted from lineages adapting to different climatic conditions in allopatry. This study suggests that niche evolution may affect lineage distribution in different ways across latitude.