The evolution of the cetaceans, from their early transition to an aquatic lifestyle to their subsequent diversification, has been the subject of numerous studies. However, while the higher-level relationships among cetacean families have been largely settled, several aspects of the systematics within these groups remain unresolved. Problematic clades include the oceanic dolphins (37 spp.), which have experienced a recent rapid radiation, and the beaked whales (22 spp.), which have not been investigated in detail using nuclear loci. The combined application of high-throughput sequencing with techniques that target specific genomic sequences provide a powerful means of rapidly generating large volumes of orthologous sequence data for use in phylogenomic studies. To elucidate the phylogenetic relationships within the Cetacea, we combined sequence capture with Illumina sequencing to generate data for ~3200 protein-coding genes for 68 cetacean species and their close relatives including the pygmy hippopotamus. By combining data from >38,000 exons with existing sequences from 11 cetaceans and seven outgroup taxa, we produced the first comprehensive comparative genomic dataset for cetaceans, spanning 6,527,596 aligned base pairs and 89 taxa. Phylogenetic trees reconstructed with maximum likelihood and Bayesian inference of concatenated loci, as well as with coalescence analyses of individual gene trees, produced mostly concordant and well-supported trees. Our results completely resolve the relationships among beaked whales as well as the contentious relationships among ocean dolphins, especially the problematic subfamily Delphininae, which includes the common and bottlenose dolphins. We performed Bayesian estimation of species divergence times using MCMCtree, integrating recently described fossils as calibration points (e.g., Mystacodon selenensis) that have not been used before. Integration of new fossil dates in the context of autocorrelated rates indicate that the diversification of Crown Cetacea began before the Late Eocene and the divergence of Crown Delphinidae as early as the Middle Miocene.