The genome of the European hedgehog, Erinaceus concolor and E. europaeus, shows a strong signal of cycles of restriction to glacial refugia and postglacial expansion. Patterns of expansion, however, differ for mitochondrial DNA (mtDNA) and preliminary analysis of nuclear markers. In this study, we determine phylogeographic patterns in the hedgehog using two loci of the major histocompatibility complex (MHC), isolated for the first time in hedgehogs. These genes show long persistence times and high polymorphism in many species because of the actions of balancing selection. Among 84 individuals screened for variation, only two DQA alleles were identified in each species, but 10 DQB alleles were found in E. concolor and six in E. europaeus. A strong effect of demography on patterns of DQB variability is observed, with only weak evidence of balancing selection. While data from mtDNA clearly subdivide both species into monophyletic subgroups, the MHC data delineate only E. concolor into distinct subgroups, supporting the preliminary findings of other nuclear markers. Together with differences in variability, this suggests that the refugia history and/or expansion patterns of E. concolor and E. europaeus differ.