Plant parasitism has independently evolved as a nutrition strategy in both true fungi and Oomycetes (stramenopiles). A large number of species within phytopathogenic Oomycetes, the so-called downy mildews, are defined as obligate biotrophs since they have not, to date, been cultured on any artificial medium. Other genera like Phytophthora and Pythium can in general be cultured on standard or non-standard agar media. Within all three groups there are many important plant pathogens responsible for severe economic losses as well as damage to natural ecosystems. Although they are important model systems to elucidate the evolution of obligate parasites, the phylogenetic relationships between these genera have not been clearly resolved. Based on the most comprehensive sampling of downy mildew genera to date and a representative sample of Phytophthora subgroups, we inferred the phylogenetic relationships from a multi-gene dataset containing both coding and non-coding nuclear and mitochondrial loci. Phylogenetic analyses were conducted under several optimality criteria and the results were largely consistent between all the methods applied. Strong support is achieved for monophyly of a clade comprising both the genus Phytophthora and the obligate biotrophic species. The facultatively parasitic genus Phytophthora is shown to be at least partly paraphyletic. Monophyly of a cluster nested within Phytophthora containing all obligate parasites is strongly supported. Within the obligate biotrophic downy mildews, four morphologically or ecologically well-defined subgroups receive statistical support: (1) A cluster containing all species with brownish-violet conidiosporangia, i.e., the genera Peronospora and Pseudoperonospora; (2) a clade comprising the genera with vesicular to pyriform haustoria (Basidiophora, Benua, Bremia, Paraperonospora, Plasmopara, Plasmoverna, Protobremia); (3) a group containing species included in Hyaloperonospora and Perofascia which almost exclusively infect Brassicaceae; (4) a clade including the grass parasites Viennotia oplismeni and Graminivora graminicola. Phylogenetic relationships between these four clades are not clearly resolved, and neither is the position of Sclerospora graminicola within the downy mildews. Character analysis indicates an evolutionary scenario of gradually increasing adaptation to plant parasitism in Peronosporales and that at least the most important of these adaptive steps occurred only once, including major host shifts within downy mildews.