The fungus Mycosphaerella graminicola emerged as a new pathogen of cultivated wheat during its domestication ~11,000 yr ago. We assembled 12 high-quality full genome sequences to investigate the genetic footprints of selection in this wheat pathogen and closely related sister species that infect wild grasses. We demonstrate a strong effect of natural selection in shaping the pathogen genomes with only ~3% of nonsynonymous mutations being effectively neutral. Forty percent of all fixed nonsynonymous substitutions, on the other hand, are driven by positive selection. Adaptive evolution has affected M. graminicola to the highest extent, consistent with recent host specialization. Positive selection has prominently altered genes encoding secreted proteins and putative pathogen effectors supporting the premise that molecular host-pathogen interaction is a strong driver of pathogen evolution. Recent divergence between pathogen sister species is attested by the high degree of incomplete lineage sorting (ILS) in their genomes. We exploit ILS to generate a genetic map of the species without any crossing data, document recent times of species divergence relative to genome divergence, and show that gene-rich regions or regions with low recombination experience stronger effects of natural selection on neutral diversity. Emergence of a new agricultural host selected a highly specialized and fast-evolving pathogen with unique evolutionary patterns compared with its wild relatives. The strong impact of natural selection, we document, is at odds with the small effective population sizes estimated and suggest that population sizes were historically large but likely unstable.