Gene flow, demography, and selection can result in similar patterns of genomic variation and disentangling their effects is key to understanding speciation. Here, we assess transcriptomic variation to unravel the evolutionary history of Gryllus rubens and G. texensis, cryptic field cricket species with highly divergent mating behavior. We infer their demographic history and screen their transcriptomes for footprints of selection in the context of the inferred demography. We find strong support for a long history of bidirectional gene flow, which ceased during the late Pleistocene, and a bottleneck in G. rubens consistent with a peripatric origin of this species. Importantly, comparing the observed FST distribution with distributions from coalescent simulations under various demographic scenarios indicates that gene flow (without selection) strongly shaped patterns of genetic divergence. Genetic divergence at FST outlier loci could thus falsely be attributed to selection when not accounting for demographic history. We uncovered a subset of loci with signatures of selection, many of which are candidates for controlling variation in mating behavior. Our results underscore the importance of gene flow and demography in overall levels of genetic divergence and highlight that simultaneously examining demography and selection facilitates a more complete understanding of genetic divergence during speciation.