The inferred transition from terrestrial hoofed mammal to fully aquatic cetacean has been intensively studied with fossil evidence. However, large sections of this remarkable evolutionary sequence are missing. Phylogenetic analysis of extant taxa may help to fill in some of these gaps. In this report, kappa-casein (exon 4) and beta-casein (exon 7) milk protein genes from cetaceans and other placental mammals were PCR-amplified, sequenced, and aligned to previously published sequences. Phylogenetic analyses of the casein data suggest that hippopotamid artiodactyls are more closely related to cetaceans than to other artiodactyls (even-toed hoofed mammals). An analysis of the nuclear casein sequences combined with published mitochondrial cytochrome b DNA sequences also supports the Cetacea/Hippopotamidae sister group. This affinity implies that some of the aquatic traits of cetaceans were derived in the common ancestor of Cetacea and Hippopotamidae. An extant "missing link" to Cetacea may have been overlooked by science since the description of the semiaquatic Hippopotamus in 1758. Paleontological information is grossly inconsistent with this hypothesis. If the casein phylogeny is accurate, large gaps in the fossil record as well as extensive morphological reversals and convergences must be acknowledged.