Marine mammals from different mammalian orders share several phenotypic traits adapted to the aquatic environment and therefore represent a classic example of convergent evolution. To investigate convergent evolution at the genomic level, we sequenced and performed de novo assembly of the genomes of three species of marine mammals (the killer whale, walrus and manatee) from three mammalian orders that share independently evolved phenotypic adaptations to a marine existence. Our comparative genomic analyses found that convergent amino acid substitutions were widespread throughout the genome and that a subset of these substitutions were in genes evolving under positive selection and putatively associated with a marine phenotype. However, we found higher levels of convergent amino acid substitutions in a control set of terrestrial sister taxa to the marine mammals. Our results suggest that, whereas convergent molecular evolution is relatively common, adaptive molecular convergence linked to phenotypic convergence is comparatively rare.