Gathering knowledge about the migratory routes and wintering areas of threatened populations is fundamental for their successful conservation. Here, we used a non-invasive approach that relies on major histocompatibility complex (MHC) polymorphism to infer the breeding origin of a long-distance migratory bird, the lesser kestrel Falco naumanni, in its most important wintering quarters in the Sub-Saharan Africa (Senegal and South Africa). Private alleles support a strong connectivity between wintering Senegalese and western European breeding populations. On the other hand, birds wintering in South Africa were genetically differentiated with respect to western European breeding populations and might therefore gather individuals from the eastern distribution range. This study demonstrates that, at least at wide continental scales, MHC genes can be powerful intrinsic markers to study migration and migration connectivity, thus adding value to its role in conservation and management.