The major histocompatibility complex (MHC) is a crucial component of the vertebrate immune system and shows extremely high levels of genetic polymorphism. The extraordinary genetic variation is thought to be ancient polymorphisms maintained by balancing selection. However, introgression from related species was recently proposed as an additional mechanism. Here we provide evidence for introgression at the MHC in Alpine ibex (Capra ibex ibex). At a usually very polymorphic MHC exon involved in pathogen recognition (DRB exon 2), Alpine ibex carried only two alleles. We found that one of these DRB alleles is identical to a DRB allele of domestic goats (Capra aegagrus hircus). We sequenced 2489 bp of the coding and non-coding regions of the DRB gene and found that Alpine ibex homozygous for the goat-type DRB exon 2 allele showed nearly identical sequences (99.8%) to a breed of domestic goats. Using Sanger and RAD sequencing, microsatellite and SNP chip data, we show that the chromosomal region containing the goat-type DRB allele has a signature of recent introgression in Alpine ibex. A region of approximately 750 kb including the DRB locus showed high rates of heterozygosity in individuals carrying one copy of the goat-type DRB allele. These individuals shared SNP alleles both with domestic goats and other Alpine ibex. In a survey of four Alpine ibex populations, we found that the region surrounding the DRB allele shows strong linkage disequilibria, strong sequence clustering and low diversity among haplotypes carrying the goat-type allele. Introgression at the MHC is likely adaptive and introgression critically increased MHC DRB diversity in the genetically impoverished Alpine ibex. Our finding contradicts the long-standing view that genetic variability at the MHC is solely a consequence of ancient trans-species polymorphism. Introgression is likely an underappreciated source of genetic diversity at the MHC and other loci under balancing selection.