Historical environmental fluctuations have influenced the distribution, connectivity, vulnerability, and diversification of present-day biodiversity. For blue whales (Balaenoptera musculus), previous genetic studies indicated major divergences among eastern Pacific, Indo-western Pacific, and Antarctic lineages, which represent most of the currently recognised subspecies. We used genomic data and coalescent-based approaches to investigate the roles of past climate and oceanographic events on the diversification of blue whales. The dataset consisted of 16,661 filtered SNPs from 275 globally distributed individuals representing three of the four recognized blue whale subspecies. We tested how past environmental changes, from the late Miocene until the Last Glacial Maximum, impacted the diversification of blue whales and whether current populations retained genetic signal associated with major historical events. Results from coalescence models indicated that diversification of the three lineages occurred during the Pleistocene at around 300,000 years ago, followed by demographic reductions in two of the subspecies. That period coincided with accumulation of ice and decreased primary productivity at a global scale, which might have affected connectivity and led to events of lineage diversification. The findings that major historical climatic oscillations and reductions in food availability have affected standing genomic variation and connectivity in blue whales are particularly relevant when predicting range shifts, population persistence, and adaptive potential for the world’s largest animal.