We investigated sex specificities in the evolutionary processes shaping Y chromosome, autosomes, and mitochondrial DNA patterns of genetic structure in the Valais shrew (Sorex antinorii), a mountain dwelling species with a hierarchical distribution. Both hierarchical analyses of variance and isolation-by-distance analyses revealed patterns of population structure that were not consistent across maternal, paternal, and biparentally inherited markers. Differentiation on a Y microsatellite was lower than expected from the comparison with autosomal microsatellites and mtDNA, and it was mostly due to genetic variance among populations within valleys, whereas the opposite was observed on other markers. In addition, there was no pattern of isolation by distance for the Y, whereas there was strong isolation by distance on mtDNA and autosomes. We use a hierarchical island model of coancestry dynamics to discuss the relative roles of the microevolutionary forces that may induce such patterns. We conclude that sex-biased dispersal is the most important driver of the observed genetic structure, but with an intriguing twist: it seems that dispersal is strongly male biased at large spatial scale, whereas it is mildly biased in favor of females at local scale. These results add to recent reports of scale-specific sex-biased dispersal patterns, and emphasize the usefulness of the Y chromosome in conjunction with mtDNA and autosomes to infer sex specificities.