Adaptive radiations are an important source of biodiversity and are often characterized by many speciation events in very short succession. It has been proposed that the high speciation rates in these radiations may be fuelled by novel genetic combinations produced in episodes of hybridization among the young species. The role of such hybridization events in the evolutionary history of a group can be investigated by comparing the genealogical relationships inferred from different subsets of loci, but such studies have thus far often been hampered by shallow genetic divergences, especially in young adaptive radiations, and the lack of genome‐scale molecular data. Here, we use a genome‐wide sampling of SNPs identified within restriction site–associated DNA (RAD) tags to investigate the genomic consistency of patterns of shared ancestry and adaptive divergence among five sympatric cichlid species of two genera, Pundamilia and Mbipia, which form part of the massive adaptive radiation of cichlids in the East African Lake Victoria. Species pairs differ along several axes: male nuptial colouration, feeding ecology, depth distribution, as well as the morphological traits that distinguish the two genera and more subtle morphological differences. Using outlier scan approaches, we identify signals of divergent selection between all species pairs with a number of loci showing parallel patterns in replicated contrasts either between genera or between male colour types. We then create SNP subsets that we expect to be characterized to different extents by selection history and neutral processes and describe phylogenetic and population genetic patterns across these subsets. These analyses reveal very different evolutionary histories for different regions of the genome. To explain these results, we propose at least two intergeneric hybridization events (between Mbipia spp. and Pundamilia spp.) in the evolutionary history of these five species that would have lead to the evolution of novel trait combinations and new species.