Determining how intra-specific genetic diversity is apportioned among natural populations is essential for detecting local adaptation and identifying populations with inherently low levels of extant diversity which may become a conservation concern. Sequence polymorphism at two adaptive loci (MHC DRA and DQB) was investigated in long-finned pilot whales (Globicephala melas) from four regions in the North Atlantic and compared with previous data from New Zealand (South Pacific). Three alleles were resolved at each locus, with trans-species allele sharing and higher levels of non-synonymous to synonymous substitution, especially in the DQB locus. Overall nucleotide diversities of 0.49 ± 0.38% and 4.60 ± 2.39% were identified for the DRA and DQB loci, respectively, which are relatively low for MHC loci in the North Atlantic, but comparable to levels previously described in New Zealand (South Pacific). There were significant differences in allele frequencies within the North Atlantic and between the North Atlantic and New Zealand. Patterns of diversity and divergence are consistent with the long-term effects of balancing selection operating on the MHC loci, potentially mediated through the effects of host-parasite coevolution. Differences in allele frequency may reflect variation in pathogen communities, coupled with the effects of differential drift and gene flow.