The theory of classical and cryptic Pleistocene refugia is based mainly on historical changes in temperature, and the refugia are usually defined within a latitudinal gradient. However, the gradient of oceanic–continental climate (i.e. longitudinal) was also significantly variable during glacial cycles with important biotic consequences. Range-wide phylogeography of the European ground squirrel (EGS) was used to interpret the evolutionary and palaeogeographical history of the species in Europe and to shed light on its glacial–interglacial dynamic. The EGS is a steppe-inhabiting species and the westernmost member of the genus in the Palaearctic region. We have analysed 915 specimens throughout the present natural range by employing mitochondrial DNA sequences (cytochrome b gene) and 12 nuclear microsatellite markers. The reconstructed phylogeography divides the species into two main geographical groups, with deep substructuring within both groups. Bulgaria is the centre of the ancestral area, and it also has the highest genetic diversity within the species. The northernmost group of the EGS survived in the southern part of Pannonia throughout several glacial–interglacial cycles. Animals from this population probably repeatedly colonized areas further to the north and west during the glacial periods, while in the interglacial periods, the EGS distribution contracted back to this Pannonian refugium. The EGS thus represents a species with a glacial expansion/interglacial contraction palaeogeographical dynamics, and the Pannonian and southeastern Balkanian steppes are supported as cryptic refugia of continental climate during Pleistocene interglacials.