The Balkan Peninsula is identified as one of the major glacial refugia in Europe during the Pleistocene, and it has served as a genetic source for post-glacial recolonization for many temperate species. The aim of this study was to investigate the genetic diversity and phylogeographic patterns of the Mediterranean horseshoe bat, Rhinolophus euryale Blasius 1853, on the Balkan Peninsula. We also analyzed its demographic history and tested the hypothesis that this region was a glacial refugium for this species. We collected 82 samples from 20 localities in the Balkans and Italy and sequenced the mitochondrial D-loop region. Our results revealed low nucleotide but high haplotype diversity, with 20 out of 24 haplotypes reported for the first time. All Balkan and Italian samples belonged to a single genetic clade in the phylogenetic reconstruction, where they clustered together with previously published samples from Turkey, southern France and North Africa. The haplotype network had a star-like pattern that is indicative of recent population expansion. Both mismatch distribution and shallow genetic differentiation also supported the scenario of a sudden demographic expansion. We estimated that expansion within this lineage commenced in the Late Pleistocene. We suggest that the Balkan Peninsula was a glacial refugium for R. euryale.